/raid1/www/Hosts/bankrupt/TCR_Public/120722.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, July 22, 2012, Vol. 16, No. 202
Headlines
ACT 2005-RR: S&P Affirms 'CCC-' Rating on Class A-1FL; Off Watch
ARCAP 2004-RR3: S&P Cuts Rating on Class B Certificates to 'CCC-'
ARLO VII: S&P Cuts Rating on Class CSTON-7B1X Notes to 'D'
BANC OF AMERICA: Moody's Affirms 'Caa2' Rating on Cl. XC Certs.
BEAR STEARNS 2002-PBW1: Fitch Junks Rating on $16.1MM Cl. H Notes
BEAR STEARNS 2003-PWR2: Fitch Cuts Ratings on 4 Cert. Classes
BEAR STEARNS 2007-PWR15: Moody's Affirms 'C' Ratings on 5 Certs.
CELERITY CLO: Moody's Raises Rating on Class E Notes to 'Ba1'
CHASE FUNDING: Moody's Raises Ratings on Two Tranches to 'Ca'
CHASE MORTGAGE 2003-S9: S&P Puts 'B' Rating on Class B-2 on Watch
CITIGROUP MORTGAGE: Moody's Lifts Rating on A-4 Tranche to 'Caa1'
COLTS 2005-2: S&P Raises Rating on Cl. D Notes From B+; Off Watch
COMM 2011-THL: Fitch Affirms Ratings on All Certificate Classes
COMM MORTGAGE: Fitch Raises Rating on 3 Loan Classes to 'CCCsf'
COMM MORTGAGE: Fitch Affirms 'CCCsf' Rating on $74MM Class K Loans
CREDIT SUISSE: Moody's Takes Action on $1.2-Bil. RMBS Tranches
CREDIT SUISSE 2001-CK3: Moody's Affirms C Rating on Cl. J Certs.
CREDIT SUISSE 2003-5: Fitch Lowers Ratings on 4 Cert. Classes
CRF 19: S&P Affirms 'CCC-' Rating on Class E Notes; Off Watch
CRIIMI MAE: S&P Affirms 'CCC-' Rating on Class E; Off Watch Neg
CWCAPITAL COBALT VR: S&P Affirms 'B+' Rating on Cl. A-1 Securities
DILLON READ: Fitch Lowers Rating on Six Note Classes to 'Dsf'
DIVERSIFIED GLOBAL II: S&P Withdraws 'BB-' Rating on Class B Notes
DRYDEN XXIII: S&P Assigns 'B' Rating on Class E Deferrable Notes
EMBARCADERO RE 2012-II: S&P Gives Prelim BB+ Rating on Cl. A Notes
FANNIE MAE 2003-W1: Moody's Cuts Rating on IB-1 Tranche to 'Caa2'
FMC 2005-1: Moody's Lowers Rating on Class G Notes to 'C'
FORTRESS CREDIT V: S&P Assigns Prelim 'BB' Rating on Class E Notes
FORTRESS CREDIT VI: S&P Assigns Prelim 'BB' Rating on Cl. E Notes
G-FORCE 2005-RR: S&P Cuts Rating on Class C to 'CCC-'; Off Watch
G-FORCE CDO 2006-1: S&P Cuts Ratings on 4 Note Classes to 'D'
GE CAPITAL 2001-3: Fitch Affirms 'Dsf' Rating on 3 Note Classes
GENERAL ELECTRIC 2003-1: Fitch Cuts Rating on Class G Certs to Csf
GMAC-RFC: Moody's Takes Rating Actions on $362MM RMBS Tranches
GREENWICH CAPITAL: Fitch Downgrades Rating on Three Cert. Classes
HEWETT'S ISLAND V: S&P Affirms 'CCC-' Rating on Class E; Off Watch
INDYMAC MANUFACTURED 1998-2: S&P Keeps D Ratings on 4 Cert Classes
JP MORGAN 2011-C1: Fitch Junks Rating on $9MM Class J Certificate
KINDER MORGAN 2002-6: Moody's Cuts Rating on Cl. A Certs. to Ba2
LNR CDO III: S&P Affirms 'CCC-' Ratings on 7 Classes; Off Watch
MADISON PARK IX: S&P Rates $22-Mil. Class E Deferrable Notes 'BB'
MERRILL LYNCH: Moody's Downgrade No Impact on Clear PLC Ratings
MINCS-CENTURION: Fitch Affirms Junk Rating on $14MM Secured Notes
MORGAN STANLEY 2004-HQ4: Losses Prompt Fitch to Lower Ratings
MORGAN STANLEY 2004-IQ8: Fitch Lowers Rating on 5 Cert. Classes
MORGAN STANLEY 2012-C5: Moody's Rates Class H Certs. '(P)B2'
NEUBERGER BERMAN XII: S&P Rates $18-5-Mil. Class E Notes 'BB'
OZLM FUNDING: S&P Assigns 'BB' Rating on Class D Deferrable Notes
PIMA COUNTY IDA: Fitch Cuts Rating on $8.4MM Bonds to 'BB+'
QUEEN STREET VI: S&P Rates $100MM Principal-at-Risk Notes 'B'
RENAISSANCE HOME: Moody's Cuts Rating on Cl. A-3 Tranche to Caa1
RESIDENTIAL REINSURANCE: S&P Cuts Rating on Class 5 Notes to 'B'
SANDELMAN PARTNERS: Fitch Affirms Junk Ratings on Six Note Classes
SARGAS CLO: Moody's Raises Rating on Class D Notes to 'Ba2'
SOUTHPORT CLO: Moody's Raises Rating on Class D Notes to 'Ba2'
STRUCTURED ASSET: Moody's Corrects July 5 Rating Release
TALISMAN 7: Fitch Affirms Junk Rating on Two Note Classes
TOLEDO-LUCAS COUNTY: Fitch Lowers Rating on $69-Mil. Bonds to 'BB'
UBS-BARCLAYS 2012-C2: Fitch Gives Low-B Ratings on 2 Cert. Classes
UBS-BARCLAYS 2012-C2: Moody's Rates Class G Certificates 'B2'
WAMU 2007-SL2: Fitch Junks Rating on Six Certificate Classes
WELLS FARGO 2011-BXR: Fitch Affirms Ratings on 9 Cert. Classes
WFRBS 2012-C8: Fitch to Rate $26MM Class G Certificates 'Bsf'
WFRBS 2012-C8: Moody's Assigns '(P)B2' Rating to Class G Certs.
* Fitch Takes Various Rating Actions on 20 SF CDOs
* Moody's Takes Rating Actions on $297MM US Scratch & Dent RMBS
* Moody's Issues Correction to May 4 RMBS Rating Release
* S&P Raises Ratings on 13 Tranches From 5 US TruPs CDO Deals
* S&P Puts Ratings on 41 Tranches From 12 US CDOs on Watch Pos
* S&P Puts Ratings on 22 Tranches From 18 CDO Deals on Watch Pos
*********
ACT 2005-RR: S&P Affirms 'CCC-' Rating on Class A-1FL; Off Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating
on class A-1FL from ACT 2005-RR Depositor Corp. (ACT 2005-RR), a
U.S. resecuritized real estate mortgage investment conduit (re-
REMIC) transaction, and removed it from CreditWatch with negative
implications.
"The affirmation reflects our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria for rating global
collateralized debt obligations (CDOs) of pooled structured
finance assets," S&P said.
"The global CDOs of pooled structured finance assets criteria
include revisions to our assumptions on correlations, recovery
rates, and the collateral's default patterns and timings. The
criteria also include supplemental stress tests (the largest
obligor default test and the largest industry default test)," S&P
said.
"According to the June 22, 2012, trustee report, ACT 2005-RR was
collateralized by 70 classes ($287.9 million, 100%) from 29
distinct commercial mortgage-backed securities (CMBS) transactions
issued between 1999 and 2004. Approximately $205.2 million (71.3%)
of the collateral are rated or credit estimated to be 'D (sf)'. To
date, ACT 2005-RR has experienced $747.2 million, or 70.9%, in
total principal losses on the original face value of $1.1 billion.
Class A-2 ('D (sf)'), has an outstanding principal balance of
$81.9 million, down from $118 million at issuance," S&P said.
"According to the June 22, 2012, trustee report, accumulated
interest shortfalls totaled $32.2 million affecting class A-1FL
and the classes subordinate to it. The interest shortfalls to ACT
2005-RR resulted from interest shortfalls on the underlying CMBS
certificates, primarily due to the master servicer's recovery of
prior advances, appraisal subordinate entitlement reductions
(ASERs), servicers' nonrecoverability determinations for advances,
and special servicing fees. Class A-1FL has an accumulated
interest shortfall of $185,268 for the most recent period. If the
liquidity interruptions to class A-1FL continue, we may take
further rating actions as we determine appropriate," S&P said.
Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remain consistent with the credit
enhancement available to support the class and take rating actions
as it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
ARCAP 2004-RR3: S&P Cuts Rating on Class B Certificates to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage-backed securities (CMBS) pass-
through certificates from ARCap 2004-RR3 Resecuritization Inc. and
ARCap 2006-RR7 Resecuritization Inc. (ARCap 2004-RR3 and ARCap
2006-RR7), U.S. resecuritized real estate mortgage investment
conduit (re-REMIC) transactions. "At the same time, we removed the
ratings from CreditWatch with negative implications. This includes
our downgrades to 'D (sf)' on class A-D and A from ARCap 2006-RR7.
We also affirmed our 'CCC (sf)' ratings on classes C and D from
ARCap 2004-RR3 and removed them from CreditWatch with negative
implications," S&P said.
"The downgrades and affirmations reflect our analysis of the
transactions' liability structures and the credit characteristics
of the underlying collateral using our global criteria for rating
collateralized debt obligations (CDOs) of pooled structured
finance assets. The downgrades to 'D (sf)' on class A-D and A from
ARCap 2006-RR7 also reflect the deferred interest on the classes
that we expect will continue for the foreseeable future," S&P
said.
"The global CDOs of pooled structured finance assets criteria
include revisions to our assumptions on correlations, recovery
rates, and the collateral's default patterns and timings. The
criteria also include supplemental stress tests (largest obligor
default test and largest industry default test). The rating on
class B from ARCap 2004-RR3 is a result of the application of the
largest obligor test," S&P said.
ARCap 2004-RR3
According to the June 21, 2012, trustee report, ARCap 2004-RR3 was
collateralized by 42 CMBS classes ($321.3 million, 100%) from 15
distinct transactions issued between 1999 and 2004. Approximately
16.3% of the collateral are rated or credit estimated to be 'D
(sf)'.
ARCap 2006-RR7
According to the June 27, 2012, trustee report, ARCap 2006-RR7 was
collateralized by 23 CMBS classes ($125.6 million, 23.9%) from 19
distinct transactions issued between 1999 and 2004, as well as 10
re-REMIC classes ($399.5, 76.1%) from two distinct transactions.
Approximately 93.8% of the collateral are rated or credit
estimated to be 'D (sf)'.
According to the June trustee report, accumulated deferred
interest totaled $58.7 million and has affected all classes in the
transaction. The deferred interest resulted from interest
shortfalls on the underlying CMBS certificates, primarily due to
the master servicer's recovery of prior advances, appraisal
subordinate entitlement reductions (ASERs), servicers'
nonrecoverability determinations for advances, and special
servicing fees. Classes A-D and A have remaining deferred interest
of $1.7 million for the most recent period.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
ARCap 2004-RR3 Resecuritization Inc.
Commercial mortgage-backed securities pass-through certificates
series 2004-RR3
Rating
Class To From
A-2 B (sf) B+ (sf) / Watch Neg
B CCC- (sf) CCC+ (sf) / Watch Neg
ARCap 2006-RR7 Resecuritization Inc.
Commercial mortgage-backed securities pass-through certificates
series 2006-RR7
Rating
Class To From
A-D D (sf) CCC+ (sf) / Watch Neg
A D (sf) CCC+ (sf) / Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
ARCap 2004-RR3 Resecuritization Inc.
Commercial mortgage-backed securities pass-through certificates
series
2004-RR3
Rating
Class To From
C CCC- (sf) CCC-(sf) / Watch Neg
D CCC- (sf) CCC- (sf) / Watch Neg
ARLO VII: S&P Cuts Rating on Class CSTON-7B1X Notes to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D(sf)'
on the notes from Arlo VII Ltd.'s series 2007-CSTON-7B-1X, and the
class B1 notes from Terra CDO SPC Ltd.'s series 2007-1, both
synthetic collateralized debt obligation (CDO) transactions. "We
also affirmed our rating on the class A1 notes from Terra CDO SPC
Ltd.'s series 2007-1, and we withdrew our rating on the class A1
notes from Terra CDO SPC Ltd.'s series 2007-2 following the
termination of the notes," S&P said.
The downgrades to 'D (sf)' follow credit events in the
transactions' underlying portfolios, which caused the notes to
incur partial principal losses.
The affirmation of the rating on the class A1 notes from Terra CDO
SPC Ltd.'s series 2007-1 reflects sufficient credit enhancement at
the current rating level.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Arlo VII Ltd. Series 2007-CSTON-7B-1x (Charleston CDO Long/Short)
USD 5,000,000 Secured Ltd. Recourse Credit Linked Notes due 2014
Rating
Class To From
CSTON-7B1X D (sf) CCC- (sf)
Terra CDO SPC Ltd. Series 2007-1 SEGREGATED PORT
Rating
Class To From
B1 D (sf) CC (sf)
RATING AFFIRMED
Terra CDO SPC Ltd. Series 2007-1 SEGREGATED PORT
Class Rating
A1 CCC- (sf)
RATING WITHDRAWN
Terra CDO SPC Ltd. Series 2007-2 SEGREGATED PORTFOL
Rating
Class To From
A1 NR CC (sf)
NR-Not rated.
BANC OF AMERICA: Moody's Affirms 'Caa2' Rating on Cl. XC Certs.
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed two classes of Banc of America Commercial Inc, Commercial
Mortgage Pass-Through Certificates, Series 2001-PB1 as follows:
Cl. K, Upgraded to A2 (sf); previously on Nov 6, 2001 Definitive
Rating Assigned Ba1 (sf)
Cl. L, Upgraded to A3 (sf); previously on Nov 6, 2001 Definitive
Rating Assigned Ba2 (sf)
Cl. M, Affirmed at B2 (sf); previously on Sep 1, 2011 Downgraded
to B2 (sf)
Cl. XC, Affirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Ratings Rationale
The upgrades are due to overall improved pool financial
performance and increased credit support due to loan payoffs and
amortization. The affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
30.5% of the current balance. At last review, Moody's cumulative
base expected loss was 24.1%. Realized losses have increased from
0.8% of the original balance to 1.7% since the prior review. The
sum realized losses and the base expected loss has decreased from
4.3% to 3.3% since the prior review. Moody's provides a current
list of base losses for conduit and fusion CMBS transactions on
moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. While commercial real estate property
values are beginning to move in a positive direction along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. Across all property sectors, the availability of debt
capital continues to improve with increased securitization
activity of commercial real estate loans supported by a monetary
policy of low interest rates. Moody's central global macroeconomic
scenario reflects healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, ongoing and policy-induced banking sector deleveraging
leading to a tightening of bank lending standards and credit
contraction, financial market turmoil continuing to negatively
impact consumer and business confidence, persistently high
unemployment levels, and weak housing markets, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012, and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7 compared to 15 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.4 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated September 1, 2011.
DEAL PERFORMANCE
As of the July 11, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $48.4
million from $938.3 million at securitization. The Certificates
are collateralized by 13 mortgage loans ranging in size from less
than 1% to 27% of the pool, with the top ten loans representing
97% of the pool.
One loan, representing 8% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of its ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $16.3 million (17% loss severity on
average). Currently seven loans, representing 78% of the pool, are
in special servicing. The largest specially serviced loan is the
Village Plaza Loan ($12.9 million -- 26.5% of the pool), which is
secured by a 12-story office and retail complex located in
Dearborn, Michigan, approximately eight miles west of Detroit. The
borrower failed to pay-off or refinance loan at maturity in June
2011. This was due to a decline in occupancy due to the largest
tenant, Oakwood Healthcare (40% NRA), exercising its option for
early termination in November 2011. The property is currently
under contract and a purchase and sale agreement has been executed
with a projected closing of July 31, 2012.
The second largest specially serviced loan is the Windsor Commerce
Center Loan ($7.6 million -- 15.6% of the pool), which is secured
by an 162,052 square foot (SF) office property located in Hartford
County, Connecticut. Property performance suffered due to a
decline in occupancy to 78% in 2011 from 97% at securitization
along with an increase in expenses. The borrower continues to make
post maturity debt service payments. The property is currently
under contract and a purchase and sale agreement has been executed
with a projected closing of July 31, 2012.
The third largest specially serviced loan is the Yorktown
Apartments Loan ($6.4 million -- 13.3% of the pool), which is
secured by a 362 unit multi-family property located in Louisville,
Kentucky. A receiver has been in possession of the property since
February 2012 and performance has remained stable with occupancy
of 88% as of May 2012. Foreclosure is expected to take place
August 31, 2012.
The remaining four specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $14.6
million loss for the specially serviced loans (39% expected loss
on average).
Moody's was provided with full year 2011 operating results for
100% of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 70% compared to 80% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 11% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 10.3%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.19X and 2.06X, respectively, compared to
1.48X and 1.74X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 19% of the pool. The largest
conduit loan is the Lakeview Place Loan ($3.6 million -- 7.5% of
the pool), which is secured by a 21,561 SF office property located
in Kirkland, Washington. The loan was extended in 2011 for a 12
month period till June 2012 to allow borrower time to refinance.
The borrower has received a commitment letter from a bank and the
loan has been extended till August 2012 with a full payoff
expected before then. Moody's LTV and stressed DSCR are 92% and
1.18X, respectively, compared to 86% and 1.25X at last review.
The second largest conduit loan is the Coleman Center Loan ($3.0
million -- 6.1% of the pool), which is secured by a retail center
consisting of five 1-story buildings totaling 64,678 SF and
located in San Marcos, California. As of February 2012 the
property was 77% occupied, comparable to 2011 and 2010 occupancy
at 79% and 74%, respectively. Performance has remained stable.
Moody's LTV and stressed DSCR are 59% and 1.97X, respectively,
compared to 53% and 2.19X at last review.
The third largest conduit loan is the 6403-6405 El Cajon Boulevard
Loan ($2.6 million -- 5.3% of the pool), which is secured by a
16,320 SF single tenant retail property. Rite-Aid is the sole
tenant on a triple-net lease through June 2018. Moody's LTV and
stressed DSCR are 82% and 1.42X, respectively, compared to 85% and
1.37X at last review.
BEAR STEARNS 2002-PBW1: Fitch Junks Rating on $16.1MM Cl. H Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded one class of Bear Stearns Commercial
Mortgage Securities Inc.'s commercial mortgage pass-through
certificates, series 2002-PBW1.
The downgrade reflects Fitch expected losses across the pool.
Fitch modeled losses of 5.2% of the original pool balance. There
are currently six specially-serviced loans (16.2%) in the pool.
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced by 88.3% (including 3.6% of
realized losses) to $108 million from $921 million at issuance.
Two loans in the pool (17.4%) are currently defeased. Interest
shortfalls are affecting classes J, K and M through P.
The largest contributor to Fitch-modeled losses (4.6%) is secured
by secured by a 58,145 square foot (sf) vacant free-standing
retail building located in Toledo, OH. The loan was transferred
to special servicing in September 2010 due to monetary default.
The property became real-estate-owned (REO) in May 2012. The
special servicer is evaluating disposition timing and options.
Fitch downgrades the following class:
-- $16.1 million class H to 'CCsf' from 'CCCsf'; RE 90%.
In addition, Fitch affirms the following classes as indicated:
-- $3.9 million class B at 'AAAsf'; Outlook Stable;
-- $31.1 million class C at 'AAAsf'; Outlook Stable;
-- $8.1 million class D at 'AAAsf'; Outlook Stable;
-- $9.2 million class E at 'AAsf'; Outlook Stable;
-- $13.8 million class F at 'BBBsf'; Outlook Stable;
-- $13.8 million class G at 'Bsf'; Outlook Stable;
-- $10.4 million class J at 'Csf'; RE 0%;
-- $1.8 million class K at 'Dsf'; RE 0%;
-- Class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0 %.
Classes A-1 and A-2 have repaid in full. Fitch does not rate
class P. Fitch previously withdrew the rating on classes X-1 and
X-2.
BEAR STEARNS 2003-PWR2: Fitch Cuts Ratings on 4 Cert. Classes
-------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed nine classes of
Bear Stearns Commercial Mortgage Securities Trust commercial
mortgage pass-through certificates series 2003-PWR2.
The downgrades are a result of increased loss expectations on the
underlying collateral. Fitch modeled losses of 2.2% of the
remaining transaction balance. As of the June 2012 distribution
date, the pool's aggregate balance has been reduced by 30.4%
(including 0.6% in realized losses) to $742.3 million from $1.07
billion at issuance. Currently, 17 loans (24.8%) are defeased,
and the collateral is made up mostly of lower leveraged loans.
Fitch has identified 15 Loans of Concern (14.4%), including one
asset in special servicing (0.4%). Currently, interest shortfalls
are only affecting class P.
The largest contributor to loss is a 156,351 square feet (sf)
office property (1.8% of pool balance) located in Long Beach, CA.
The property, which has experienced a significant decline in
occupancy since underwriting, is exposed to further declines, with
several leases expiring within the next two years. Fitch modeled
the loan to default during its term.
The next largest contributor to losses is a 119,829 sf office
property (2.4%) located in Detroit, MI. The prior tenant
exercised their early termination option at the end of 2011 after
not physically occupying the property for several years.
Recently, a new lease approval has been agreed on with a new
tenant. Fitch expects the loan to default at maturity.
Fitch has taken the following actions:
-- $604.8 million class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- $26.7 million class B affirmed at 'AAAsf'; Outlook Stable;
-- $28 million class C affirmed at 'AAAsf'; Outlook Stable;
-- $9.3 million class D affirmed at 'AAAsf'; Outlook Stable;
-- $12 million class E affirmed at 'AAsf'; Outlook Stable;
-- $10.7 million class F affirmed at 'A-sf'; Outlook to Stable
from Positive;
-- $9.3 million class G affirmed at 'BBB+sf'; Outlook to Stable
from Positive;
-- $13.3 million class H affirmed at 'BBB-sf'; Outlook to
Negative from Stable;
-- $5.3 million class J downgraded to 'BBsf' from 'BB+sf';
Outlook Negative;
-- $5.3 million class K downgraded to 'Bsf' from 'BBsf'; Outlook
Negative;
-- $4 million class L downgraded to 'Bsf' from 'BB-sf'; Outlook
Negative;
-- $5.3 million class M affirmed at 'CCCsf/RE 100%';
-- $2.7 million class N downgraded to 'CCsf' from 'CCCsf'; RE
70%.
Class A-1, A-2, and A-3 have paid in full. Fitch does not rate
the $9.1 million class P.
Fitch has previously withdrawn the rating on the interest-only
classes X-1 and X-2.
BEAR STEARNS 2007-PWR15: Moody's Affirms 'C' Ratings on 5 Certs.
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed 15 classes of Bear Stearns Commercial Mortgage
Securities Inc, Commercial Mortgage Pass-Through Certificates,
Series 2007-PWR15 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Apr 9, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Apr 9, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Aug 4, 2011 Confirmed
at Aaa (sf)
Cl. A-4FL, Affirmed at Aaa (sf); previously on Aug 4, 2011
Confirmed at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Aug 4, 2011
Confirmed at Aaa (sf)
Cl. A-M, Downgraded to Baa3 (sf); previously on Aug 4, 2011
Downgraded to Baa1 (sf)
Cl. A-MFL, Downgraded to Baa3 (sf); previously on Aug 4, 2011
Downgraded to Baa1 (sf)
Cl. A-J, Affirmed at Caa1 (sf); previously on Aug 4, 2011
Downgraded to Caa1 (sf)
Cl. A-JFL, Affirmed at Caa1 (sf); previously on Aug 4, 2011
Downgraded to Caa1 (sf)
Cl. B, Affirmed at Caa3 (sf); previously on Aug 4, 2011 Downgraded
to Caa3 (sf)
Cl. C, Affirmed at C (sf); previously on Aug 4, 2011 Downgraded to
C (sf)
Cl. D, Affirmed at C (sf); previously on Aug 4, 2011 Downgraded to
C (sf)
Cl. E, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Feb 11, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to concerns about potential interest
shortfalls affecting Classes A-M and A-MFL. The affirmations are
due to key parameters, including Moody's loan to value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings.
Moody's rating action reflects a cumulative base expected loss of
10.1% of the current balance. At last review, Moody's cumulative
base expected loss was 9.9%. Realized losses have increased from
4.0% of the original balance to 4.1% since the prior review.
Moody's provides a current list of base losses for conduit and
fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. While commercial real estate property
values are beginning to move in a positive direction along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. Across all property sectors, the availability of debt
capital continues to improve with increased securitization
activity of commercial real estate loans supported by a monetary
policy of low interest rates. Moody's central global macroeconomic
scenario reflects healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, ongoing and policy-induced banking sector deleveraging
leading to a tightening of bank lending standards and credit
contraction, financial market turmoil continuing to negatively
impact consumer and business confidence, persistently high
unemployment levels, and weak housing markets, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 46 compared to 38 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated August 4, 2011.
DEAL PERFORMANCE
As of the July 11, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 19% to $2.29
billion from $2.81 billion at securitization. The Certificates are
collateralized by 183 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 37%
of the pool. One loan, representing 0.3% of the pool, has defeased
and is secured by U.S. Government securities. The pool contains
one loan with an investment grade credit assessment, representing
0.6% of the pool.
Forty-six loans, representing 25% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Thirteen loans have been liquidated from the pool, which along
with two loan modifications and two partial liquidations of loans
still in special servicing, have resulted in an aggregate realized
loss of $116.4 million (36% loss severity on average). As part of
the loan modification for World Market Center II, the loan
experienced a $71.9 million loss due to principal forgiveness.
Currently 13 loans, representing 6% of the pool, are in special
servicing. The largest specially serviced loan is the Laurel Mall
Loan ($37.5 million -- 1.6% of the pool), which is secured by a
562,013 square foot (SF) regional mall located in Hazelton,
Pennsylvania anchored by K-Mart, JC Penney, and Boscovs. The
property was 92% leased as of December 2011, in-line with 92% in
December 2010, 94% in December 2009, and 91% at securitization.
The recent drop in performance is due to a decrease in revenue and
increase in expenses. In addition, the original 60 month interest-
only period recently ended. The loan was transferred to special
servicing in May 2012 and a workout strategy is still being
determined.
The second largest specially serviced loan is the Desert Gardens
Apartments Loan ($24.2 million -- 1.1% of the pool), which is
secured by a 532 unit garden style multi-family property located
in Glendale, Arizona. The property was 78% leased as of May 2012,
down from 84% in December 2010 and 88% in December 2009. The loan
transferred to special servicing in June 2011 for payment default
(14 months delinquent). A foreclosure sale was scheduled for
November 14, 2011 but the borrower filed for chapter 11 bankruptcy
protection on November 4, 2011. The special servicer engaged
bankruptcy counsel and discussions on a plan of reorganization is
underway.
The remaining ten specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $55.9
million loss for the specially serviced loans (41% expected loss
on average).
Moody's has assumed a high default probability for 20 poorly
performing loans representing 19% of the pool and has estimated an
aggregate $116.1 million loss (26% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 operating results for 97%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 107% compared to 114% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10.5% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.32X and 0.96X, respectively, compared to
1.27X and 0.92X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The loan with a credit assessment is the Commerce Crossings Nine
Loan ($13.9 million -- 0.6% of the pool), which is secured by a
500,000 SF industrial property located in Louisville, Kentucky.
The property is 100% leased to Solectron USA, a fully owned
subsidiary of Flextronics International which is a Fortune Global
500 electronics manufacturing services provider. The loan is
amortizing on a 21 year schedule. Moody's value incorporated a
Lit/Dark analysis. Moody's credit assessment and stressed DSCR are
Baa2 and 1.65X, respectively, compared to Baa2 and 1.56X at last
review.
The top three conduit loans represent 17% of the pool. The largest
conduit loan is the World Market Center II - A & B Note Loan
(total $271.7 million - $73.1 million A-Note; $198.7 million B-
Note) -- 11.9% of the pool), which is secured by a 1.4 million 16-
story home furniture and furnishing accessories design center and
showroom built in 2006 located in downtown Las Vegas, Nevada. A
modification agreement which closed on May 2, 2011 included the
following terms: principal forgiveness of $71,927,526; interest
reduced on the A-Note ($73,072,474 IO) to 4.35% from 6.35%; no
current interest on the B-Note ($200,000,000) and 80% of the net
cash flow after debt service is applied to amortization of the B-
Note. Post-modification loan payments have been made on time. The
property was 61% leased as of December 2011. Moody's LTV and
stressed DSCR on the A-Note are 79% and 1.34X, respectively,
compared to 65% and 1.63X at last review.
The second largest conduit loan is the 1325 G Street Loan ($100.0
million -- 4.4% of the pool), which is secured by a 306,563 SF
office property located near the White House in Washington, DC.
The tenant base is concentrated in government sponsored entities.
The largest tenant is the Neighborhood Reinvestment Corp which
leases 21% of the NRA under a lease expirating in May 2013. The
property was 95% leased as of December 2011 compared to 94% in
December 2010, 97% in September 2009, and 85% at securitization.
Performance has remained stable but Moody's is concerned about
potential lease rollover in 2013. Moody's LTV and stressed DSCR on
are 112% and 0.82X, respectively, similar to the last review.
The third largest conduit loan is the Cherry Hill Town Center Loan
($80.0 million -- 3.8% of the pool), which is secured by a 511,306
SF retail property located in Cherry Hill, New Jersey, a suburb of
Philadelphia. The property was 100% leased in December 2011, up
from 99% in December 2010 and 97% at securitization. Only 2% of
current leases roll within the next 36 months. Performance remains
stable and a majority of leases have rent and CAM increases in
2012 from leases signed in 2007 when property opened. Moody's LTV
and stressed DSCR on are 105% and 0.85X, respectively, compared to
101% and 0.88X at last review.
CELERITY CLO: Moody's Raises Rating on Class E Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Celerity CLO, Ltd.:
U.S.$16,000,000 Class D Fourth Priority Deferrable Floating Rate
Notes Due 2016, Upgraded to A1 (sf); previously on January 19,
2012 Upgraded to A3 (sf);
U.S.$8,000,000 Class E Fifth Priority Deferrable Floating Rate
Notes Due 2016 (current balance of $7,641,347), Upgraded to Ba1
(sf); previously on July 29, 2011 Upgraded to Ba2 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging and an increase in the
transaction's overcollateralization ratios. Moody's notes that the
Class B Notes have been paid down in full and the Class C Notes
have been paid down by approximately 35% or $10 million since the
rating action in January 2012. As a result of the deleveraging,
the overcollateralization ratios have increased since the last
rating action. Based on the latest trustee report dated June 8,
2012, the Class C, Class D, and Class E overcollateralization
ratios are reported at 258.67%, 140.16%, and 115.0%, respectively,
versus December 2011 levels of 177.26%, 125.30%, and 109.91%,
respectively.
Notwithstanding the deleveraging of the transaction, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since the rating action in January 2012. In
particular, the weighted average rating factor is currently 3045
compared to 2828 in December 2011.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $49.6 million, no
defaulted par, a weighted average default probability of 19.05%
(implying a WARF of 3346), a weighted average recovery rate upon
default of 52.7%, and a diversity score of 17. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Celerity CLO, Ltd., issued in March 2004, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2677)
Class A: 0
Class B: 0
Class C: 0
Class D: +1
Class E: +1
Class 1 Combination: 0
Moody's Adjusted WARF + 20% (4015)
Class A: 0
Class B: 0
Class C: 0
Class D: -1
Class E: 0
Class 1 Combination: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated Caa1 and below, especially when they
experience jump to default.
CHASE FUNDING: Moody's Raises Ratings on Two Tranches to 'Ca'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two ratings
and confirmed the rating of one tranche issued by Chase Funding
Trust, Series 2004-1. This transaction is backed primarily by
first-lien, Subprime loans.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
Moody's ratings on the certificates take into account the cash
flow waterfall and trigger definitions described in the Pooling
and Servicing agreement. For Group I certificates the Trustee's
calculation of Senior Enhancement Percentage is not consistent
with Moody's interpretation of the transaction documents. As per
the Trustee's calculation the triggers are passing and mezzanine
certificates are receiving principal payments. Moody's has
notified the Trustee of this issue.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: Chase Funding Trust, Series 2004-1
Cl. IA-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. IIM-2, Upgraded to Ca (sf); previously on Mar 7, 2011
Downgraded to C (sf)
Cl. IIB, Upgraded to Ca (sf); previously on Mar 7, 2011 Downgraded
to C (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290089
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
CHASE MORTGAGE 2003-S9: S&P Puts 'B' Rating on Class B-2 on Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services placed six ratings on Chase
Mortgage Finance Trust Series 2003-S9 (Chase 2003-S9) on
CreditWatch with negative implications. "The rating actions follow
our assessment of bond payment allocations made subsequent to a
loan modification. The bond cash flows after the loan modification
are causing current and projected principal write-downs," S&P
said.
Chase 2003-S9 is a transaction backed by prime jumbo 15-year
mortgage loans with these characteristics:
Table 1
Original Current
Balance $400,008,339 $44,547,078
GWAC 5.129% 5.101%
WAM 179 68
Avg. Bal. $519,000 $218,368
LTV 55.76% 22.40%
FICO 736 N/A
Senior CE 1.20% 2.75%
PO Balance(*) 13,601,257 1,551,474
Cum. Losses 0.02%
Total DQs 1.34%
(*)Principal-only
"In July 2011, a loan was modified as part of the Home Affordable
Modification Program (HAMP). The servicer lowered the coupon and
recapitalized delinquent fees and payments thereby commensurately
increasing the loan balance. Following the loan modification, the
trustee allocated payments to the bonds that Standard & Poor's
believes are not consistent with our understanding of the bond
payment waterfall in the transaction documents," S&P said.
"Based upon the trustee's bondholder payment allocation, we
calculate that there will not be sufficient principal to retire
the bonds at maturity. Based on our rating definitions, this would
guide us to downgrade the tranches to 'CCC (sf)'. However, we are
placing the ratings on CreditWatch negative in anticipation of
further information from the trustee," S&P said.
"We will monitor developments relating to this transaction and
will resolve the CreditWatch placements on the six classes once
further details become available. We could lower the ratings to
'CCC (sf)' if the trustee confirms that previous payment
allocations are in accordance with its interpretation of the
transaction documents. We could affirm the ratings and remove them
from CreditWatch negative if the trustee confirms that payments
were incorrectly allocated and restates previous remittance
reports. The current 'AAA' ratings are supported by our view of
the 15-year mortgage loans having amortized down from an initial
loan-to-value (LTV) ratio of 55.76% at closing to 22.4% currently.
As a result, we expect that the losses on the delinquent loans
will likely be small if these loans are ultimately liquidated.
Assuming a 'AAA' severity assumption of 35% on the 1.34% of loans
in foreclosure and bankruptcy, we would expect 0.469% of losses,
compared with the 2.75% of remaining credit enhancement to the A-1
senior class or approximately 5.9x coverage," S&P said.
"Servicer performance may also have an impact on our ratings. The
modification and full repayment of a 2003 vintage, 15-year loan
with a low LTV within six months of its modification is atypical
(it is unclear if the servicer had repurchased this loan as
prescribed in the deal documents or if it was a payment in full by
the borrower). Additionally, in September and October of 2011, the
trustee reported nonrecoverable advances of $210 in each month. It
is Standard & Poor's belief that servicer advances on low LTV
loans should be recoverable and thus, according to the transaction
documents, the servicer should continue to make advances. Failure
by the servicer to make such advances could further affect our
ratings," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
RATING ACTIONS
Chase Mortgage Finance Trust Series 2003-S9
Rating
Class CUSIP To From
A-1 16162WAA7 AAA (sf)/Watch Neg AAA (sf)
A-X 16162WAB5 AAA (sf)/Watch Neg AAA (sf)
A-P 16162WAC3 AAA (sf)/Watch Neg AAA (sf)
M 16162WAE9 AA (sf)/Watch Neg AA (sf)
B-1 16162WAF6 A (sf)/Watch Neg A (sf)
B-2 16162WAG4 B (sf)/Watch Neg B (sf)
CITIGROUP MORTGAGE: Moody's Lifts Rating on A-4 Tranche to 'Caa1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two tranches
from Citigroup Mortgage Loan Trust 2006-WFHE3. The collateral
backing the transactions are subprime residential mortgages.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE3
Cl. A-3, Upgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools.The upgrades in the rating action are
a result of improving performance and/or structural features
resulting in lower expected losses for certain bonds than
previously anticipated.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R)(SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The unemployment rate fell from 9.0% in April 2011 to 8.2% in June
2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's
expects house prices to drop another 1% from their 4Q2011 levels
before gradually rising towards the end of 2013. Performance of
RMBS continues to remain highly dependent on servicer procedures.
Any change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these
transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290555
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689
COLTS 2005-2: S&P Raises Rating on Cl. D Notes From B+; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes from CoLTS 2005-2 Ltd., a U.S. middle market
collateralized loan obligation (CLO) transaction. "At the same
time, we removed our ratings on these classes from CreditWatch
with positive implications, where we placed them on April 18,
2012. We also withdrew our rating on the class B notes following
full repayment of the notes. Prior to the withdrawal, the class B
notes were on CreditWatch positive," S&P said.
"The upgrades mainly reflect paydowns to the class A, B, and C
notes and a subsequent improvement in the credit enhancement and
overcollateralization (O/C) available to support the notes since
February 2011, when we upgraded all of the notes. Since that time,
the transaction has paid down the class A and B notes in full. The
transaction has also paid down class C notes by approximately $8.9
million, reducing the outstanding note balance to 73.68% of its
original balance at issuance. The remaining payment on the class B
notes and partial payment to class C was reported on the June 20,
2012, distribution date," S&P said.
"Primarily due to the paydowns, the transaction has seen an
improvement in the O/C available to support the notes since our
February 2011 rating actions. The trustee reported a class D O/C
ratio of 145.88% compared with 115.68% at the time of the last
action," S&P said.
"Our rating on class B was driven by the application of the
largest obligor default test, a supplemental stress test we
introduced as part of our 2009 corporate criteria update," S&P
said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
CoLTS 2005-2 Ltd.
Rating
Class To From
B NR AA- (sf)/Watch Pos
C AAA (sf) BB+ (sf)/Watch Pos
D BBB+ (sf) B+ (sf)/Watch Pos
NR--Not rated.
TRANSACTION INFORMATION
Issuer: CoLTS 2005-2 Ltd.
Coissuer: CoLTS 2005-2 Corp.
Underwriter: Wachovia Securities Inc.
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CDO
COMM 2011-THL: Fitch Affirms Ratings on All Certificate Classes
---------------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM 2011-THL Mortgage
Trust commercial mortgage pass through certificates as follows:
-- $340.1 million class A at 'AAAsf'; Outlook Stable;
-- $75 million class B at 'AA-sf'; Outlook Stable;
-- $55 million class C at 'A-sf'; Outlook Stable;
-- $45 million class D at 'BBBsf'; Outlook Stable;
-- $50 million class E at 'BBB-sf'; Outlook Stable;
-- $110 million class F at 'BB-sf'; Outlook Stable.
The affirmations are the result of stable portfolio performance
since issuance. Servicer reported year-end (YE) 2011 portfolio
net cash flow (NCF) improved 5.6% since issuance. The average
portfolio occupancy rate and revenue per room (RevPar) at YE2011
was 68.5% and $63.53, respectively, compared to 65.8% and $61.38,
respectively, at issuance.
The transaction is secured by a mortgage loan interest in a pool
of limited and select service hotel properties located across the
U.S. At issuance, there were 168 properties totaling 15,673 rooms
located in 33 states. Seven properties have since been released
and the proceeds were applied to pay down principal. As of the
July 2011 distribution date, the pool's aggregated principal
balance has been reduced by 1.5% to $675.1 million from $685
million at issuance. The debt stack also includes three mezzanine
loans held outside the trust with a total principal balance of
$290 million at issuance and the $475 million preferred equity.
The portfolio is comprised of seven separate franchises, including
Marriott (55% based on number of properties) and Hilton (18%).
The franchises are split up among 19 different flags, including
Fairfield Inn (22%), Residence Inn (18%), Hampton Inn (12%),
Courtyard (10%) and Comfort Suites (6%). The properties are
located in 32 states with the largest concentrations (by allocated
balance) in CA (21%), TX (12%), PA (7%), IL (6%) and NY (6%).
COMM MORTGAGE: Fitch Raises Rating on 3 Loan Classes to 'CCCsf'
---------------------------------------------------------------
Fitch Ratings has affirmed the pooled classes and upgraded five
non-pooled classes of COMM Mortgage Trust 2006-FL12. Fitch's
performance expectation incorporates prospective views regarding
commercial real estate market value and cash flow declines.
Despite having a modified pro rata pay structure, credit
enhancement for more senior classes will continue to benefit from
loan payoffs and dispositions. Classes A-1, A-2, and A-J receive
85% of any payoffs or principal proceeds on non-defaulted loans
(paid sequentially). In addition, the transaction has loan-level
sequential pay triggers. As of the July 2012 remittance, the
trustee reported that the following remaining loans were deemed to
have had a sequential paydown event: Four Seasons Hualalai,
Albertsons (Newkirk) Portfolio, and Embassy Suites Lake Buena
Vista. Both structural features result in increased credit
enhancement to senior classes. The Positive Outlooks on classes B
and C are attributable to future anticipated increases in credit
enhancement.
Under Fitch's methodology, approximately 70% of the pool is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 14.3% from generally year-end 2011 servicer-reported
financial data, or from recent appraised values. To determine a
sustainable Fitch cash flow and stressed value, Fitch analyzed
servicer-reported operating statements and rent rolls, updated
property valuations, and comparisons with properties' competitive
sets. Fitch estimates full recoveries on the pooled loans in the
base case.
The transaction is collateralized by nine loans, which includes
four secured by primarily hotels (62.5% of the total trust
balance), one by a multifamily property (15.5%), two by office
properties (14%), and two by retail properties (8%).
The transaction faces significant near-term maturity risk. Two
loans (17.6% of the total trust balance), Albertsons (Newkirk)
Portfolio and Four Seasons Hualalai, defaulted in August 2011 and
June 2012, respectively, after failing to pay off at their final
maturities. Another 45.5% of the loans will reach their
modified/extended maturities through the end of 2013. Finally,
the Kerzner International Portfolio (36.9%) was extended through
September 2014. The transaction's rated final maturity date is
December 2020.
As of the July 2012 remittance, seven loans (94.8%) were in
special servicing. Of the specially serviced loans, five loans
(75.7%) are performing in accordance with their modified loan
terms, while two loans (19.1%) are in default.
The largest defaulted loan is the Four Seasons Hualalai, which is
primarily secured by a 243-key luxury resort hotel located on the
Kona-Kohala Coast of Ka'upulehu-Kona, HI. Additional collateral
includes several residential lots within the Hualalai residential
community and the Hualalai Golf Club. The loan was structured
with an initial maturity of June 9, 2008, with four one-year
extension options. The borrower recently defaulted at its June 8,
2012 final maturity. Despite the default, recent performance of
the hotel has improved. For the trailing 12 months ended April
30, 2012, occupancy, ADR, and RevPAR were 78.9%, $875, and $691,
compared with 65.7%, $872, and $573 for the same period last year.
The special servicer is currently reviewing the borrower's request
for an extension.
The second largest defaulted loan is the Albertsons (Newkirk)
Portfolio, which was originally secured by 50 anchor boxes located
across 15 states, totaling 2.4 million sf. Since issuance, four
properties have been released, totaling 217,577 square feet. The
portfolio is triple-net leased to various grocer tenants,
primarily consisting of Albertsons (officially New Albertson's,
Inc., rated 'CCC' by Fitch). The loan was structured with an
initial maturity of Aug. 9, 2008, with three one-year extension
options. The borrower defaulted at its Aug. 9, 2011 final
maturity. All cash flow is being trapped and post-maturity
payments are being applied while the special servicer works to
resolve the loan or dispose of the assets.
Fitch upgrades the following classes and revises Rating Outlooks
and Recovery Estimates (REs) as indicated:
-- $66.4 million class KR1 to 'BBB-sf' from 'BBsf'; Outlook to
Stable from Negative;
-- $20.7 million class KR2 to 'BBsf' from 'Bsf'; Outlook to
Stable from Negative;
-- $6.5 million class FSH1 to 'CCCsf' from 'CCsf'; RE 100%;
-- $8.7 million class FSH2 to 'CCCsf' from 'CCsf'; RE 100%;
-- $9.1 million class FSH3 to 'CCCsf' from 'CCsf'; RE 100%.
Fitch affirms the following classes and revises Rating Outlooks
and REs as indicated:
-- $237 million class A-2 at 'AAAsf'; Outlook Stable;
-- $507 million class A-J at 'AAAsf'; Outlook Stable;
-- $85.3 million class B at 'AA+sf'; Outlook Positive;
-- $59.9 million class C at 'AA+sf'; Outlook Positive;
-- $66.1 million class D at 'AAsf'; Outlook Stable;
-- $49.2 million class E at 'AA-sf'; Outlook Stable;
-- $49.2 million class F at 'Asf'; Outlook Stable;
-- $46.9 million class G at 'BBBsf'; Outlook Negative;
-- $29.2 million class H at 'BBsf'; Outlook Negative;
-- $24.6 million class J at 'Dsf'; RE 65%;
-- $58.5 million class KR3 at 'CCCsf'; RE 100%;
-- $5.6 million class IP1 at 'BBB+sf'; Outlook Negative;
-- $9.3 million class IP2 at 'BBBsf'; Outlook Negative;
-- $9.1 million class IP3 at 'CCCsf'; RE 75%;
-- $7.1 million class CN1 at 'BBBsf'; Outlook Stable;
-- $4.9 million class CN2 at 'BBBsf'; Outlook Stable;
-- $4.8 million class CN3 at 'BBB-sf'; Outlook Stable;
-- $5.3 million class AN3 at 'CCCsf'; RE 100%;
-- $4.2 million class AN4 at 'CCCsf'; RE 100%;
-- $2.4 million class LS1 at 'BBsf'; Outlook to Stable from
Positive;
-- $2.6 million class LS2 at 'Bsf'; Outlook to Stable from
Positive;
-- $2.5 million class LS3 at 'CCCsf'; RE 100%;
-- $5 million class FG1 at 'BBsf'; Outlook Stable;
-- $5.2 million class FG2 at 'BBsf'; Outlook Stable;
-- $3.7 million class FG3 at 'Bsf'; Outlook Stable;
-- $4.7 million class FG4 at 'Bsf'; Outlook Stable;
-- $6.1 million class FG5 at 'CCCsf'; RE 100%;
-- $1.7 million class ES1 at 'Bsf'; Outlook Negative;
-- $1.6 million class ES2 at 'CCCsf'; RE 0%;
-- $1.4 million class ES3 at 'CCCsf'; RE 0%;
-- $1.2 million class TC1 at 'BBsf'; Outlook Stable;
-- $1 million class TC2 at 'BBsf'; Outlook Stable.
Fitch withdraws its ratings on classes HDC1, LB1, LB2, and LB3,
which have had their balances reduced to zero due to principal
paydown and realized losses. The corresponding assets, Hotel Del
Coronado and Legacy Bayside Business Park, have been disposed of.
The classes were previously rated 'Dsf' as a result of incurring
principal losses.
The following classes originally rated by Fitch have paid in full:
A-1, CA2, CA3, CA4, SR1, MSH1, MSH2, MSH3, MSH4, AH1, AH2, AH3,
AH4, CM1, and CM2. In addition, Fitch previously withdrew its
ratings on the interest-only classes X-1, X-2, X-3-BC, X-3-DB, X-
3-SG, X-4, X-5-BC, X-5-DB, and X-5-SG.
COMM MORTGAGE: Fitch Affirms 'CCCsf' Rating on $74MM Class K Loans
------------------------------------------------------------------
Fitch Ratings affirms COMM Mortgage Trust 2006-CNL2 (COMM 2006-
CNL2) transaction based on stable property performance since
Fitch's last rating action. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow decline.
The pool is collateralized by a single portfolio loan, CNL Hotels
& Resorts. The loan is secured by four luxury resort/hotels,
including the Waldorf=Astoria Grand Wailea Resort & Spa (45.1% of
allocated loan amount), Waldorf=Astoria La Quinta Resort & Club
(26.9%), Waldorf=Astoria Arizona Biltmore (22.9%), and the
Claremont Resort & Spa (5%). The Marriott Doral Golf Resort & Spa
(formerly 10.2% of the collateral allocation) was recently sold,
with sale proceeds of approximately $140 million applied against
the original principal balance of the trust.
The loan remains in special servicing after failing to refinance
in February 2011. In addition, the borrowing entity filed for
bankruptcy protection in February 2011. The borrower continues to
discuss workout options with the special servicer, which include a
possible sale of other collateral properties, as well an extension
of the loan. Recent valuation for the portfolio indicated
recovery prospects remain strong.
The four properties securing the loan continue to operate at cash
flow levels below expectations from issuance; however, on a year-
to-year basis, performance has been improving. The portfolio's
net operating income (NOI) increased by approximately 5% at year-
end 2011, compared to 2010. The NOI has been steadily improving
from trough performance during the recession.
Collectively, the portfolio is outperforming the competitive set
on a weighted average basis. The overall occupancy, average daily
rate (ADR), and revenue per available room (RevPAR) were 61.7%,
$264.43, and $187.85, respectively, compared with competitive set
figures of 62.7%, $251.84, and $184.30.
The Waldorf=Astoria Grand Wailea Resort & Spa reported a revenue
per available room (RevPAR) as of May 2012 of $312.96. The
subject's competitive set for the same period reported a RevPAR of
$317.74, indicating the Grand Wailea is effectively operating in-
line with market performance. The LaQuinta Resort & Club, Arizona
Biltmore, and San Francisco Claremont are all out performing their
respective markets, with RevPAR penetrations of 110.9%, 106.4%,
and 130.6%.
The loan is modeled to default in the base case stress scenario,
defined as the 'B' stress. In its review, Fitch analyzed servicer
reported operating statements, borrower financials, and hotel
market reports. Fitch estimates that recoveries in the 'B' stress
case could exceed 90%. The U.S. lodging outlook remains stable-
to-positive, and further growth, recovery, and stabilization in
the sector will positively affect property cash flow and value.
Fitch affirms the following classes and revises the Outlooks as
indicated:
-- $139.2 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $139.2 million class A-2FX at 'AAAsf'; Outlook Stable;
-- $90 million class A-JFX at 'AAsf'; Outlook Stable;
-- $49.5 million class A-JFL at 'AAsf'; Outlook Stable;
-- $33.5 million class BFX at 'Asf'; Outlook Stable;
-- $33.5 million class BFL at 'Asf'; Outlook Stable;
-- $21 million class CFX at 'Asf'; Outlook Stable;
-- $21 million class CFL at 'Asf'; Outlook Stable;
-- $36.5 million class D at 'BBBsf'; Outlook Stable;
-- $36.5 million class E at 'BBBsf'; Outlook Stable;
-- $36.5 million class F at 'BBBsf'; Outlook Stable;
-- $36 million class G at 'BBsf'; Outlook Negative;
-- $48.5 million class H at 'BBsf'; Outlook Negative;
-- $65 million class J at 'Bsf'; Outlook Negative;
-- $74 million class K at 'CCCsf'; RE 35%.
CREDIT SUISSE: Moody's Takes Action on $1.2-Bil. RMBS Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 95
tranches, upgraded the rating of one tranche, and confirmed the
ratings of 36 tranches from 20 RMBS transactions, backed by Alt-A
loans, issued by Credit Suisse First Boston.
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated before 2005 and reflect Moody's updated loss
expectations on these pools. The upgrade is due to build-up in
credit enhancement due to excess spread and over-
collateralization. The downgrades are a result of deteriorating
performance and/or structural features resulting in higher
expected losses for certain bonds than previously anticipated.
Particularly, in shifting interest structures, back-ended
liquidations expose the senior bond holders to tail-end losses. In
its current approach, Moody's captures this risk by running each
individual pool through a variety of loss and prepayment scenarios
in the Structured Finance Workstation(R) (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural nuances of the transaction.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction. As
such, Moody's has withdrawn the rating of Credit Suisse First
Boston Mortgage Securities Corp. Pass-Through Certificates, 2002-
P1 pursuant to published rating methodologies that allow for the
withdrawal of the rating if the size of the underlying collateral
pool at the time of the withdrawal has fallen below a specified
level.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Alt-A and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. Once the loan count in a
pool falls below 76, this rate of delinquency is increased by 1%
for every loan fewer than 76. For example, for a 2004 pool with 75
loans, the adjusted rate of new delinquency is 10.1%. Further, to
account for the actual rate of delinquencies in a small pool,
Moody's multiplies the rate calculated above by a factor ranging
from 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% respectively. Moody's then uses this
final adjusted rate of new delinquency to project delinquencies
and losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.1% in June 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Pass-
Through Certificates, 2002-P1
Cl. A, Withdrawn (sf); previously on May 6, 2011 Downgraded to A1
(sf)
Underlying Rating: Withdrawn (sf); previously on May 6, 2011
Downgraded to A1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. B-1, Withdrawn (sf); previously on Jan 31, 2012 Baa2 (sf)
Placed Under Review for Possible Downgrade
Cl. B-2, Withdrawn (sf); previously on May 6, 2011 Downgraded to
B2 (sf)
Cl. B-3, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Ca (sf)
Cl. B-4, Withdrawn (sf); previously on May 6, 2011 Downgraded to C
(sf)
Cl. B-5, Withdrawn (sf); previously on May 6, 2011 Downgraded to C
(sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-1
Cl. 1-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-X, Confirmed at Baa1 (sf); previously on Feb 22, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-2
Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-X, Confirmed at Baa3 (sf); previously on Feb 22, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-X, Downgraded to Ba3 (sf); previously on Feb 22, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-3, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-X, Downgraded to Ba2 (sf); previously on Feb 22, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 7-M-1, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. CB-1X, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-3
Cl. 1-A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf) and Placed Under Review for Possible
Downgrade
Cl. C-M, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-4
Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Cl. CB-1X, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-5
Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to C (sf); previously on Mar 17, 2011
Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-AR26
Cl. I-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012
A3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012
A3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. VIII-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012
A3 (sf) Placed Under Review for Possible Downgrade
Cl. III-X, Downgraded to Baa3 (sf); previously on Feb 22, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Ca (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR1
Cl. I-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-X, Confirmed at Baa2 (sf); previously on Feb 22, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR3
Cl. I-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. I-X, Confirmed at Baa1 (sf); previously on Feb 22, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. III-X, Downgraded to Ba2 (sf); previously on Feb 22, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. VI-M-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Caa2 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR4
Cl. I-A-1, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to B1 (sf); previously on Feb 22, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-2, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-4, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-5, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. V-M-1, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa3 (sf)
Cl. I-X, Downgraded to B2 (sf); previously on Feb 22, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR5
Cl. 4-A-1, Downgraded to B3 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 8-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 9-A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 9-X, Confirmed at Baa1 (sf); previously on Feb 22, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 10-A-1, Confirmed at A3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. 10-A-2, Confirmed at Baa1 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 11-A-2, Upgraded to Baa1 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR6
Cl. 1-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 8-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR7
Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-AR8
Cl. 1-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 8-A-6, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2002-9
Cl. I-A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ba2 (sf); previously on Mar 18, 2011
Downgraded to Aa3 (sf)
Cl. I-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. I-P, Downgraded to Ba2 (sf); previously on Mar 18, 2011
Downgraded to Aa3 (sf)
Cl. I-B-1, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2001-28
Cl. I-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Baa3 (sf); previously on Feb 22, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa3 (sf); previously on Mar 18, 2011
Downgraded to Baa1 (sf)
Cl. I-X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. I-P, Downgraded to Baa3 (sf); previously on Mar 18, 2011
Downgraded to Baa1 (sf)
Cl. II-A-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-10
II-A-1, Downgraded to Baa3 (sf); previously on Mar 18, 2011
Downgraded to A2 (sf)
II-X, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf) and Placed Under Review for Possible Downgrade
I-M-2, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
II-B-1, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-22
Cl. II-M-1, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-M-2, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-B-1, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa3 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-24
Cl. I-B-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-29
Cl. I-B-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to B3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-3, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-30
Cl. I-X, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. D-B-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF291383
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
CREDIT SUISSE 2001-CK3: Moody's Affirms C Rating on Cl. J Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes of
Credit Suisse First Boston Mortgage Securities Corp., Commercial
Mortgage Pass-Through Certificates, Series 2001-CK3 as follows:
Cl. F, Affirmed at Aaa (sf); previously on Aug 11, 2011 Upgraded
to Aaa (sf)
Cl. G-1, Affirmed at Baa3 (sf); previously on Aug 11, 2011
Upgraded to Baa3 (sf)
Cl. G-2, Affirmed at Baa3 (sf); previously on Aug 11, 2011
Upgraded to Baa3 (sf)
Cl. H, Affirmed at B3 (sf); previously on Aug 11, 2011 Upgraded to
B3 (sf)
Cl. J, Affirmed at C (sf); previously on Mar 30, 2011 Downgraded
to C (sf)
Cl. A-X, Affirmed at Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
13.1% of the current balance compared to 14.5% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. While commercial real estate property
values are beginning to move in a positive direction along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. Across all property sectors, the availability of debt
capital continues to improve with increased securitization
activity of commercial real estate loans supported by a monetary
policy of low interest rates. Moody's central global macroeconomic
scenario reflects healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, ongoing and policy-induced banking sector deleveraging
leading to a tightening of bank lending standards and credit
contraction, financial market turmoil continuing to negatively
impact consumer and business confidence, persistently high
unemployment levels, and weak housing markets, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessment in
the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology. The calculator then returns a
calculated IO rating based on both a target and mid-point. For
example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating is
775 (i.e. the simple average of a Baa3 (sf) rating factor of 610
and a Ba1 (sf) rating factor of 940). If the calculated IO rating
factor is 700, the IO calculator would provide both a Baa3 (sf)
and Ba1 (sf) IO indication for consideration by the rating
committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2 compared to 4 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.4 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output. The rating
action is a result of Moody's on-going surveillance of commercial
mortgage backed securities (CMBS) transactions. Moody's monitors
transactions on a monthly basis through a review utilizing
MOST(R)(Moody's Surveillance Trends) Reports and a proprietary
program that highlights significant credit changes that have
occurred in the last month as well as cumulative changes since the
last full transaction review. On a periodic basis, Moody's also
performs a full transaction review that involves a rating
committee and a press release. Moody's prior transaction review is
summarized in a press release dated August 11, 2011.
DEAL PERFORMANCE
As of the July 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $62.6
million from $1.13 billion at securitization. The Certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 65% of the pool, with the top ten loans representing 90% of
the pool. One loan, representing less than 1% of the pool, has
defeased and is secured by U.S. Government securities.
Three loans are on the master servicer's watchlist, representing
77% of the pool; the top two loans in the pool are on this list.
The watchlist includes loans which meet certain portfolio review
guidelines established as part of the CRE Finance Council (CREFC)
monthly reporting package. As part of its ongoing monitoring of a
transaction, Moody's reviews the watchlist to assess which loans
have material issues that could impact performance.
Thirty-four loans have been liquidated since securitization, of
which 28 loans generated an aggregate $61.4 million loss (38%
average loss severity). Currently, there are three loan in special
servicing, representing 11% of the pool. Moody's has estimated a
loss of $41.6 million for these loans (62% expected loss).
Moody's has assumed a high default probability for two poorly
performing loans representing 12% of the pool and has estimated a
$1.79 million loss (24% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2010 and 2011 operating
results for 100% and 99% of the conduit pool, respectively.
Excluding defeased, special and troubled loans, Moody's weighted
average conduit LTV is 87% compared to 78% at last Moody's prior.
Moody's net cash flow (NCF) reflects a weighted average haircut of
14% to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.2%.
Excluding defeased, special and troubled loans, Moody's actual and
stressed conduit DSCRs are 1.07X and 1.36X, respectively, compared
to 1.21X and 1.40X at last review. Moody's actual DSCR is based on
Moody's net cash flow and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
The top three conduit loans represent 78% of the pool. The largest
conduit loan is the Atrium Mall Loan ($40.8 million -- 65.0% of
the pool), which is secured by a 214,800 SF unanchored enclosed
shopping center located approximately nine miles west of Downtown
Boston in Chestnut Hill, Massachusetts. Financial performance has
declined due to declining occupancy. As of December 2011, the mall
was 61% leased compared to 63% at last review and 77% in June
2010. The rise in vacancy is attributed to the departure of
Borders, William Sonoma and Abercrombie. As of last review, Simon
Property Group, the borrower, announced a re-merchandising program
to improve occupancy and tenant sales. The loan remains current
after having passed the recent March 15, 2011 anticipated
repayment date (ARD). Simon has requested that the master servicer
consider a modification of the loan's ARD payment terms. For 2011,
the net operating income dropped 12% since 2010. The property is
scheduled to mature this month. Moody's current LTV and stressed
DSCR are 93% and 1.07X, respectively, compared to 79% and 1.23X at
last review.
The second largest loan is the Best Buy #185 Loan ($5.6 million -
9.0% of the pool), which is secured by a 48,000 SF single tenant
Best Buy store located in East Palo Alto, California. The property
is situated within the Gateway 101 retail complex with Mi Pueblo
Super-market, Ikea, Nordstom Rack, Sports Authority and Office
Depot in the immediate vicinity. As of May 2012, Best Buy went
dark after announcing the closure of 50 locations throughout the
US. The tenant's scheduled lease expiration is in 2020. The loan
remains current; however; Moody's is concerned about the
refinancing risk when the loan matures in March 2013. Moody's
value reflects a Lit/Dark analysis. Moody's LTV and stressed DSCR
are 144% and 0.73X, respectively, compared to 79% and 1.26X at
last review.
The third largest loan is the Falcon Pointe Apartment Loan ($2.7
million -- 4.4% of the pool), which is secured by a 112-unit
multi-family property located 25 miles south-west of Houston in
Rosenberg, Texas. As of March 2012, the property was 96% leased
compared to 93% at last review. Performance remains stable.
Moody's LTV and stressed DSCR are 66% and 1.48X, respectively,
compared to 70% and 1.41X at last review.
CREDIT SUISSE 2003-5: Fitch Lowers Ratings on 4 Cert. Classes
-------------------------------------------------------------
Fitch Ratings has downgraded four classes of Credit Suisse First
Boston Mortgage Securities Corp., commercial mortgage pass-through
certificates, series 2003-C5.
The downgrades are the result of increased loss expectations by
Fitch across the pool. Fitch modeled losses of 7.3% of the
remaining pool; expected losses of the original pool are at 5.4%
including losses already incurred to date.
As of the June 2012 remittance report, the transaction has paid
down 38.3% to $778.1 million from $1.261 billion at issuance.
Twenty four loans (26.7%) have defeased. Interest shortfalls
totaling $2.6 million are currently affecting classes J through P.
As of the June 2012 distribution date, 6 loans (3.9%) are in
special servicing.
The largest contributor to modeled losses, Baseline Corporate
Center (1.9% of the pool), is secured by a 2 building 149,629 sf
office complex in Tempe, Arizona. The loan transferred to special
servicing effective August 2011. The center resides west of the
I-10 Freeway and is situated along the commercial corridor due to
its close proximity to the freeway and Baseline Road off ramp.
The most recent servicer-reported debt servicing coverage ratio
(DSCR) was 0.76x as of year-end 2011, and the December 2011
reported occupancy was 80%. The performance of the complex has
improved over the past year and the buildings' overall occupancy
compares favorably to the market, which has a vacancy rate of 30%.
The second largest contributor to modeled losses is an
approximately 223,000 square foot (sf) industrial building (1.8%
of the pool) located in Troy, Michigan. The loan was returned to
the master servicer September 2011 after a modification that
resulted in a loan bifurcation to an A/B structure. Since the
modification, performance has steadily improved with the servicer
reported occupancy as of June 2012 at 74%.
The third largest contributor to modeled losses is Deer Valley
Financial Center (1.3%), 126,569 sf office building located in
Phoenix, Arizona. The building, located less than one half mile
from Deer Valley Airport, sits on 19th Avenue a primary
throughfare that provides good visibility and access to the
surrounding area. The loan continues to underperform; however,
occupancy has cont inued to improve since vacancy peaked in late
2009 at 46% with the servicer reported vacancy as of March 2012 at
36%.
Fitch has downgraded the following classes as indicated:
-- $14.2 million class G to 'B-sf' from 'Bsf'; Outlook Negative
from Stable;
-- $14.2 million class H to 'CCCsf' from 'B-sf'; RE45%;
-- $9.5 million class J to 'CCsf' from 'CCCsf'; RE0% from
RE100%;
-- $6.3 million class K to 'CCsf' from 'CCCsf'; RE0% from
RE100%.
In addition, Fitch affirms the following classes:
-- $368.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $218.50 million class A-1A at 'AAAsf'; Outlook Stable;
-- $39.4 million class B at 'AAAsf'; Outlook Stable;
-- $15.8 million class C at 'AAAsf'; Outlook Stable;
-- $31.5 million class D at 'AAsf'; Outlook Negative from
Stable;
-- $17.3 million class E at 'Asf'; Outlook Negative from Stable;
-- $17.3 million class F at 'BBsf'; Outlook Negative from
Stable;
-- $6.3 million class L at 'CC'; RE0% from RE100%;
-- $7.9 million class M at 'C'; RE0% from RE15%;
-- $1.6 million class N at 'C'; RE0%;
-- $4.7 million class O at 'C'; RE0%.
Classes A-1, A-2 and A-3 have paid in full. Fitch does not rate
the $4.9 million class P. Classes A-SP and A-X are previously
withdrawn.
CRF 19: S&P Affirms 'CCC-' Rating on Class E Notes; Off Watch
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on CRF 19
LLC's class C notes and removed it from CreditWatch with negative
implications. "In addition, we affirmed our ratings on the class
A-2, A-3, B, D, and E notes and removed classes B, D, and E from
CreditWatch negative," S&P said.
"The downgrade reflects rising delinquency and increasing
cumulative net loss rates that we have observed within the
transaction's underlying asset portfolio. The affirmations are
based on sufficient credit support at the classes' current
ratings," S&P said.
"CRF 19 LLC is an asset-backed securities (ABS) transaction that
is collateralized primarily by a pool of small business
development loans that are not insured or guaranteed by any
governmental agency. These loans are generally secured by owner-
occupied, multipurpose commercial real estate. Approximately 80%
of these loans are second liens. The credit support for each
class of rated notes is provided by a combination of
subordination, an interest reserve account in the amount of three-
months interest on the offered notes (reduced as the offered note
principal is paid), and excess spread," S&P said.
"Between April 2011 and May 2012, the total delinquency (as a
percentage of the then-current pool balance) rate increased to
27.40% from 24.43%; the 90-plus-day delinquency (as a percentage
of the then-current pool balance) rate increased to 26.76% from
21.98%; and the cumulative net loss (as a percentage of the
original pool balance) rate increased to 5.75% from 4.13%," S&P
said.
"As of May 24, 2012, CRF 19 LLC's loan pool had a pool factor of
62.24%; the class A-1 notes had been fully paid off; the class A-2
notes had a remaining balance of approximately $4.828 million,
which was approximately 30.74% of its original balance; and the
class A-3, B, C, D, E, F, and G notes had not received any
principal payments. The class B through F notes allow for interest
to be deferred if available funds are insufficient to pay the
current interest. A cumulative loss rate event was triggered for
the class C, D, E, F, and G notes after the cumulative loss rate
exceeded the thresholds for these notes, as set in the transaction
documents for the related payment periods. As a result, per the
transaction documents, the transaction is deferring interest
payments to the class C through G notes, and the deferred interest
will be carried forward," S&P said.
Standard & Poor's will continue to review outstanding ratings and
take additional rating actions as appropriate.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ACTIONS
CRF 19 LLC
Rating
Class To From
B A (sf) A (sf)/Watch Neg
C BB+ (sf) BBB (sf)/Watch Neg
D B- (sf) B- (sf)/Watch Neg
E CCC- (sf) CCC- (sf)/Watch Neg
RATINGS AFFIRMED
CRF 19 LLC
Rating
A-2 AAA (sf)
A-3 AAA (sf)
CRIIMI MAE: S&P Affirms 'CCC-' Rating on Class E; Off Watch Neg
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating
on class E from CRIIMI Mae Trust I's series 1996-C1 (CRIIMI 1996-
C1), a U.S. resecuritized real estate mortgage investment conduit
(re-REMIC) transaction and removed it from CreditWatch with
negative implications.
"The affirmation reflects our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria for rating global
collateralized debt obligations (CDOs) of pooled structured
finance assets," S&P said.
"The global CDOs of pooled structured finance assets criteria
include revisions to our assumptions on correlations, recovery
rates, and the collateral's default patterns and timings. The
criteria also include supplemental stress tests (the largest
obligor default test and the largest industry default test)," S&P
said.
"According to the July 2, 2012, trustee report, CRIIMI Mae 1996-C1
was collateralized by five commercial mortgage-backed securities
(CMBS) classes ($27.2 million, 100%) from four distinct
transactions issued between 1995 and 1996. We rate or credit
estimate approximately $9.8 million (36.0%) of the collateral 'D
(sf)'. The sole collateral that we do not rate 'D (sf)' is class
B1 ($17.4 million, 64.0%) from Asset Securitization Corp.'s series
1995-D1. Our rating on this class is 'CCC- (sf)'," S&P said.
According to the July trustee report, class E has an outstanding
balance of $26.7 million, down from $100 million at issuance, due
to principal paydown.
Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remain consistent with the credit
enhancement available to support the class and take rating actions
as it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
CRIIMI Mae Trust I
Rating
Class To From
E CCC- (sf) CCC- (sf)/Watch Neg
CWCAPITAL COBALT VR: S&P Affirms 'B+' Rating on Cl. A-1 Securities
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its rating on class
A-1 from CWCapital COBALT Vr Ltd. (COBALT Vr), a commercial real
estate collateralized debt obligation (CRE CDO) transaction.
"Concurrently, we removed the rating from CreditWatch with
negative implication," S&P said.
"The affirmation reflects our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral, for which we used our criteria for rating
global collateralized debt obligations (CDOs) of pooled structured
finance assets. These criteria include revised assumptions on
correlations, recovery rates, default patterns, and timings of the
collateral. The criteria also include supplemental stress tests
(the largest obligor default test and the largest industry default
test), which we considered in our analysis," S&P said.
"According to the June 26, 2012, trustee report, COBALT Vr was
collateralized by 175 commercial mortgage-backed securities (CMBS)
classes ($1.561 billion, 66.2%) from 48 distinct transactions
issued between 2003 and 2007. Cobalt Vr's assets also include six
classes ($406.6 million, 17.3%) from CRIIMI MAE Commercial
Mortgage Trust's series 1998-C1 and 10 classes ($388.5 million,
16.5%) from 10 CRE CDO transactions. Approximately 77.7% of the
collateral assets are rated or credit estimated to be 'D (sf)'. We
considered the potential recovery rates of these defaulted assets
in our rating, as well as the continued credit deterioration of
the underlying assets. Since our last review of the transaction,
the balance of the collateral assets had declined to $2.356
billion as of June 2012 from $2.643 billion as of June 2011. The
transaction's liabilities, including interest shortfalls, totaled
$3.571 billion. Our affirmation on class A-1 considers the credit
enhancement available to the class as well as the continued
amortization of the class, which has an outstanding principal
balance of $358.6 million, down from $609.0 million at issuance,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the rating assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
CWCapital COBALT Vr Ltd.
Rating
Class To From
A-1 B+ (sf) B+ (sf)/Watch Neg
DILLON READ: Fitch Lowers Rating on Six Note Classes to 'Dsf'
-------------------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed three
classes at 'Dsf' and withdrawn the ratings on the notes issued by
Dillon Read CMBS CDO 2006-1, Ltd. (Dillon Read 2006-1).
On Sept. 7, 2010, the transaction entered into an Event of Default
(EOD). The EOD occurred due to the ratio of the net outstanding
portfolio balance over the sum of the class A-1SVF notes (funded
amount plus remaining unfunded facility commitment) and the
outstanding amount of the class A-1 notes failing the 100%
threshold. On May 4, 2012, the holders of the majority
controlling class declared the notes immediately due and payable
with proceeds being disbursed on July 13, 2012. Proceeds were
sufficient to pay $37.5 million in fees to the hedge counterparty
and the 11.3% of the outstanding balance of the class A-S1VF
notes. The remaining classes have been completely written off due
to insufficient liquidation proceeds.
Fitch has taken the following actions as indicated below:
-- $0 class A-S1VF notes affirmed at 'Dsf' and withdrawn;
-- $0 class A-1 notes affirmed at 'Dsf' and withdrawn;
-- $0 class A-2 notes affirmed at 'Dsf' and withdrawn;
-- $0 class A-3 notes downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $0 class A-4 notes downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $0 class B-1 notes downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $0 class B-2 notes downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $0 class B-3 notes downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $0 class B-4 notes downgraded to 'Dsf' from 'Csf' and
withdrawn.
DIVERSIFIED GLOBAL II: S&P Withdraws 'BB-' Rating on Class B Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 27
classes of notes from 11 collateralized debt obligation (CDO)
transactions.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
Avery Point CLO Ltd. is a cash flow CDO transaction backed by
corporate loans (CLO). The transaction paid the class A-1, A-2, A-
3, B, C-1, C-2, D-1, D-2, and E notes down in full on the June 18,
2012, optional redemption payment date, from outstanding balances
of $13.18 million, $0.90 million, $25.00 million, $20.25 million,
$22.00 million, $10.00 million, $20.00 million, $3.00 million, and
$9.00 million.
C-Bass CBO V Ltd. is a cash flow CDO transaction backed by
mezzanine structured finance assets. The transaction paid the
class C notes down in full on the June 22, 2012, payment date,
from an outstanding balance of $2.91 million.
Diversified Global Securities Ltd. II is a cash flow CDO
transaction backed by other CDO transactions. It paid the class B
notes down in full on the June 18, 2012, payment date, from an
outstanding balance of $0.19 million.
Dryden V-Leveraged Loan CDO 2003 is a cash flow CLO. The
transaction paid the class B-1 and B-2 notes down in full on the
June 22, 2012, payment date, from outstanding balances of $10.09
million and $5.94 million.
FM Leveraged Capital Fund I is a cash flow CLO that paid the class
A notes down in full on the June 15, 2012, payment date, from an
outstanding balance of $12.20 million.
Franklin CLO IV Ltd. is a cash flow CLO transaction that paid the
class C notes down in full on the June 20, 2012, payment date,
from an outstanding balance of $10.96 million.
Garrison Funding 2010-1 LLC is a cash flow CLO. The transaction
paid the class A-1, A-2, B, and C notes down in full on the May
21, 2012, optional redemption payment date, from outstanding
balances of $140.07 million, $25.00 million, $12.00 million, and
$18.00 million.
Gemstone CDO Ltd. is a cash flow CDO backed by mezzanine
structured finance assets that paid the class A-2 notes down in
full on the June 15, 2012, payment date, from an outstanding
balance of $0.02 million.
Stanfield Carrera CLO Ltd. is a cash flow CLO transaction that
paid the class A notes down in full on the June 15, 2012, payment
date, from an outstanding balance of $2.13 million.
TIAA Real Estate CDO 2002-1 Ltd. is a cash flow CDO transaction
originally backed by commercial mortgage-backed securities. The
transaction paid the class II-FL, II-FX, III, and IV notes down in
full on the May 22, 2012, payment date, from outstanding balances
of $11.89 million, $11.89 million, $46.50 million, and $17.50
million.
Waveland-Ingots Ltd. is a cash flow CLO that paid the class B-1
and B-2 notes down in full on the June 21, 2012, optional
redemption payment date, from outstanding balances of $11.65
million and $8.04 million.
Ratings Withdrawn
Avery Point CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
B NR AAA (sf)
C-1 NR AA+ (sf)
C-2 NR AA+ (sf)
D-1 NR AA (sf)
D-2 NR AA (sf)
E NR A- (sf)
C-Bass CBO V Ltd.
Rating
Class To From
C NR A+ (sf)/Watch Neg
Diversified Global Securities Ltd. II
Rating
Class To From
B NR BB- (sf)
Dryden V-Leveraged Loan CDO 2003
Rating
Class To From
B-1 NR AAA (sf)
B-2 NR AAA (sf)
FM Leveraged Capital Fund I
Rating
Class To From
A NR AAA (sf)
Franklin CLO IV Ltd.
Rating
Class To From
C NR A+ (sf)
Garrison Funding 2010-1 LLC
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AA (sf)
C NR A (sf)
Gemstone CDO Ltd.
Rating
Class To From
A-2 NR AA (sf)
Stanfield Carrera CLO Ltd.
Rating
Class To From
A NR AAA (sf)
TIAA Real Estate CDO 2002-1 Ltd.
Rating
Class To From
II-FL NR AA (sf)/Watch Neg
II-FX NR AA (sf)/Watch Neg
III NR BBB+ (sf)/Watch Neg
IV NR BB+ (sf)/Watch Neg
Waveland-Ingots Ltd.
Rating
Class To From
B-1 NR AAA (sf)
B-2 NR AAA (sf)
NR-Not rated.
DRYDEN XXIII: S&P Assigns 'B' Rating on Class E Deferrable Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Dryden
XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC's $382.0
million floating- and fixed-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior-secured loans.
The ratings reflect S&P's view of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
The portfolio manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-13.84%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
RATINGS ASSIGNED
Dryden XXIII Senior Loan Fund/Dryden XXIII Senior Loan Fund LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.50
A-1 AAA (sf) 270.50
A-2a AA (sf) 19.75
A-2b AA (sf) 15.00
B (deferrable) A (sf) 28.75
C (deferrable) BBB (sf) 20.25
D (deferrable) BB (sf) 16.25
E (deferrable) B (sf) 9.00
Subordinated notes NR 31.40
NR--Not rated.
EMBARCADERO RE 2012-II: S&P Gives Prelim BB+ Rating on Cl. A Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'BB+(sf)'
preliminary rating to the Series 2012-II Class A notes to be
issued by Embarcadero Re Ltd. The notes cover losses in the
covered area on an annual aggregate basis.
The attachment and exhaustion points for the first loss occurrence
period are $6.233 billion and $6.533 billion.
"The rating is based on the lower of the rating on the catastrophe
risk (BB+) and the rating on the assets in the collateral account
(AAAm). Because the California Earthquake Authority (CEA) will
deposit at closing 110% of the first quarterly premium into a
premium deposit account, we didn't include CEA in our credit
analysis. We do not maintain an interactive rating on the CEA,"
S&P said.
The CEA is a publicly managed, largely privately funded
organization that provides catastrophic residential earthquake
insurance, and encourages Californians to reduce their risk of
earthquake loss.
"This is the third Embarcadero Re issue we have rated. Series
2011-1 Class A notes were issued in August 2011, have an
attachment point of $3.287 billion, and are rated 'BB-(sf)';
Series 2012-1 Class A notes were issued in February 2012, have an
attachment point of $2.91 billion, and are rated 'BB-(sf)'," S&P
said.
RATINGS LIST
Embarcadero Re Ltd.
Preliminary Rating
Series 2012-II Class A Notes BB+(sf)
FANNIE MAE 2003-W1: Moody's Cuts Rating on IB-1 Tranche to 'Caa2'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches from two deals issued by Fannie Mae REMIC Trust. The
collateral backing these deals consists of first-lien fixed and
adjustable rate mortgage loans insured by the Federal Housing
Administration (FHA) an agency of the U.S. Department of Urban
Development (HUD) or guaranteed by the Veterans Administration
(VA).
Complete rating actions are as follows:
Issuer: Fannie Mae REMIC Trust 2003-W1
Cl. M, Downgraded to Ba1 (sf); previously on Aug 26, 2011
Downgraded to Baa2 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W4
Cl. IM, Downgraded to Ba2 (sf); previously on Aug 26, 2011
Downgraded to Ba1 (sf)
Cl. IB-1, Downgraded to Caa2 (sf); previously on Aug 26, 2011
Downgraded to B3 (sf)
Ratings Rationale
The actions are a result of the recent performance of FHA-VA
portfolio and reflect Moody's updated loss expectations on these
pools and structural nuances of the transactions. The downgrades
are a result of higher than expected losses and the erosion credit
enhancement supporting some of these bonds. These are shifting
interest structures and the subordinate bonds are paying down
principal exposing the bonds to tail- end losses.
A FHA guarantee covers 100% of a loan's outstanding principal and
a large portion of its outstanding interest and foreclosure-
related expenses in the event that the loan defaults. A VA
guarantee covers only a portion of the principal based on the
lesser of either the sum of the current loan amount, accrued and
unpaid interest, and foreclosure expenses, or the original loan
amount. HUD usually pays claims on defaulted FHA loans when
servicers submit the claims, but can impose significant penalties
on servicers if it finds irregularities in the claim process later
during the servicer audits. This can prompt servicers to push more
expenses to the trust that they deem reasonably incurred than
submit them to HUD and face significant penalty. The rating
actions consider the portion of a defaulted loan normally not
covered by the FHA or VA guarantee and other servicer expenses
they deemed reasonably incurred and passed on to the trust.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance, and updated pool-level loss
expectations. Moody's took into account credit enhancement
provided by seniority, and other structural features within the
senior note waterfalls.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "FHA-VA US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast. The unemployment rate fell
from 9.1% in June 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292170
A list of updated estimated pool losses and sensitivity analysis
may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF256626
FMC 2005-1: Moody's Lowers Rating on Class G Notes to 'C'
---------------------------------------------------------
Moody's Investors Service has upgraded three, downgraded one and
affirmed three classes of Notes issued by FMC Real Estate CDO
2005-1, Ltd. essentially due to the full amortization of $84.7
million of primarily higher credit risk collateral since the last
review in August 2011. Additionally, the underlying collateral
performance has been relatively stable as evidenced by the Moody's
weighted average rating factor (WARF) and recovery rate (WARR).
The collateral composition has trended towards whole loans which
are expected to receive higher than average pool recoveries given
a default. The affirmations are due to key transaction parameters
performing within levels commensurate with the existing ratings
levels. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO CLO) transactions.
Cl. B, Upgraded to Aaa (sf); previously on Aug 3, 2011 Upgraded to
Aa3 (sf)
Cl. C, Upgraded to A2 (sf); previously on Aug 3, 2011 Upgraded to
Baa2 (sf)
Cl. D, Upgraded to Ba2 (sf); previously on Aug 3, 2011 Upgraded to
B2 (sf)
Cl. E, Affirmed at Caa2 (sf); previously on Sep 9, 2010 Downgraded
to Caa2 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on Sep 9, 2010 Downgraded
to Caa3 (sf)
Cl. G, Downgraded to C (sf); previously on Sep 9, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Ratings Rationale
FMC Real Estate CDO 2005-1, Ltd is a static cash transaction (the
reinvestment period ended in August 2010) collateralized by a
portfolio of a-notes and whole loans (46.7% of the pool balance),
b-notes (35.5%), and mezzanine loans (17.8%). As of the June 21,
2012 Trustee report, the aggregate Note balance of the transaction
has decreased to $188.9 million from $439.4 million at issuance,
with the paydown directed to the Class A-1 and Class A-2 Notes.
There was full cancellation of the Class G and Class H Notes in
August 2011. Per Moody's special comment, "Junior CDO Note
Cancellations Should Concern Senior Noteholders in Structured
Transactions," dated June 14, 2010, there is a concern that the
cancellation of junior notes can lead to a diversion of cash flow
away from the senior notes. During the current review, holding all
key parameters static, the full cancellations of the Class G and H
Notes in the subject transaction did not result in higher expected
losses and longer weighted average lives on the senior Notes,
while having the opposite effect on mezzanine and junior Notes to
cause, in and of itself, a downgrade or upgrade of any classes of
Notes. The ratings of these notes will be subsequently withdrawn.
There are eleven assets with a par balance of $143.1 million
(59.0% of the current pool balance) that are considered impaired
securities as of the June 21, 2012 Trustee report. Three of these
assets are whole loans (40.3%), six assets are b-notes (33.1%) and
two assets are mezzanine loans (26.6%). While there have been no
realized losses to the eleven remaining impaired assets to date,
Moody's does expect moderate losses to occur once they are
realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), WARR, and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 7,856 compared to 7,743 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.0%
compared to 0.9% at last review), A1-A3 (0.0% compared to 2.0% at
last review), Baa1-Baa3 (0.0% compared to 0.0% at last review),
Ba1-Ba3 (0.0% compared to 0.0% at last review), B1-B3 (12.6%
compared to 3.3% at last review), and Caa1-C (87.4% compared to
93.8% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 3.5
years compared to 2.3 years at last review. The longer WAL is due
to the current collateral mix and expectations about amortization
and loan extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
29.7% compared to 37.5% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100%, same as at last review. The high
MAC is due to high default probability collateral concentrated
within a small number of collateral names.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.2, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
29.7% to 24.7% or up to 34.7% would result in average rating
movement on the rated tranches of 0 to 3 notches downward and 0 to
4 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. While commercial real estate property
values are beginning to move in a positive direction along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. Across all property sectors, the availability of debt
capital continues to improve with increased securitization
activity of commercial real estate loans supported by a monetary
policy of low interest rates. Moody's central global macroeconomic
scenario reflects healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, ongoing and policy-induced banking sector deleveraging
leading to a tightening of bank lending standards and credit
contraction, financial market turmoil continuing to negatively
impact consumer and business confidence, persistently high
unemployment levels, and weak housing markets, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
FORTRESS CREDIT V: S&P Assigns Prelim 'BB' Rating on Class E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Fortress Credit Funding V L.P.'s $352.4 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated and middle market senior secured loans.
The preliminary ratings are based on information as of July 19,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
- The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
- The transaction's legal structure, which is expected to be
bankruptcy remote.
- The diversified collateral portfolio, which consists primarily
of broadly syndicated and middle market speculative-grade
senior secured term loans.
- The collateral manager's experienced management team.
- S&P's projections of the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.34%-12.26&%.
- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
- The transaction's interest diversion test, a failure of which
during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses and
subordinated note payments) to principal proceeds for the
purchase of additional collateral assets.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
PRELIMINARY RATINGS ASSIGNED
Fortress Credit Funding V L.P.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 228.000
A-2 AA (sf)) 40.400
B (deferrable) A (sf) 35.800
C (deferrable) BBB (sf) 23.200
D (deferrable) BBB- (sf) 5.200
E (deferrable) BB (sf) 19.800
Subordinated notes NR 56.376
NR-Not rated.
FORTRESS CREDIT VI: S&P Assigns Prelim 'BB' Rating on Cl. E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Fortress Credit Funding VI L.P.'s $149.8 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated and middle market senior secured loans.
The preliminary ratings are based on information as of July 19,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
- The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
- The transaction's legal structure, which is expected to be
bankruptcy remote.
- The diversified collateral portfolio, which consists primarily
of broadly syndicated and middle market speculative-grade
senior secured term loans.
- The collateral manager's experienced management team.
- S&P's projections of the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.34%-12.26%.
- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
- The transaction's interest diversion test, a failure of which
during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses and
subordinated note payments) to principal proceeds for the
purchase of additional collateral assets.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
PRELIMINARY RATINGS ASSIGNED
Fortress Credit Funding VI L.P.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 96.900
A-2 AA (sf) 17.170
B (deferrable) A (sf) 15.215
C (deferrable) BBB (sf) 9.860
D (deferrable) BBB- (sf) 2.210
E (deferrable) BB (sf) 8.415
Subordinated notes NR 23.990
NR-Not rated.
G-FORCE 2005-RR: S&P Cuts Rating on Class C to 'CCC-'; Off Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes from G-Force 2005-RR LLC, a U.S. resecuritized real estate
mortgage investment conduit (re-REMIC) transaction and removed
them from CreditWatch with negative implications. "At the same
time, we affirmed our ratings on four other classes from the same
transaction and removed them from CreditWatch with negative
implications," S&P said.
"The downgrades and affirmations reflect our analysis of the
transaction's liability structure and the credit characteristics
of the underlying collateral using our criteria for rating global
collateralized debt obligations (CDOs) of pooled structured
finance assets," S&P said.
"Our criteria for rating global CDOs of pooled structured finance
assets include revisions to our assumptions on correlations,
recovery rates, and the collateral's default patterns and timings.
The criteria also include supplemental stress tests (the largest
obligor default test and the largest industry default test) in our
analysis," S&P said.
"According to the June 22, 2012, trustee report, G-Force 2005-RR
was collateralized by 32 CMBS classes ($297.3 million, 100%) from
12 distinct transactions issued between 1998 and 2000. Classes J
through O-6 have experienced losses that reduced their initial
balances to zero, while the class H current balance is $11.1
million, down from $14.5 million at issuance," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
G-Force 2005-RR LLC
Rating
Class To From
B CCC+ (sf) B- (sf)/ Watch Neg
C CCC- (sf) CCC (sf)/ Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
G-Force 2005-RR LLC
Rating
Class To From
A2 B+ (sf) B+ (sf)/ Watch Neg
D CCC- (sf) CCC- (sf)/ Watch Neg
E CCC- (sf) CCC- (sf)/ Watch Neg
F CCC- (sf) CCC- (sf)/ Watch Neg
G-FORCE CDO 2006-1: S&P Cuts Ratings on 4 Note Classes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of notes from G-Force CDO 2006-1 Ltd., a commercial real
estate collateralized debt obligation (CRE CDO) transaction, and
removed them from CreditWatch with negative implications. "At the
same time, we affirmed our rating on class SSFL and removed it
from CreditWatch with negative implications. We also affirmed our
rating on class A-1, removed it from CreditWatch with negative
implications, and subsequently withdrew the rating following full
repayment of the principal balance," S&P said.
"The downgrades and affirmations reflect our analysis of the
transaction's liability structure and the credit characteristics
of the underlying collateral using our criteria for rating global
CDOs of pooled structured finance assets. We also considered the
amount of defaulted assets in the transaction and their expected
recoveries in our analysis," S&P said.
"Our recently amended criteria for rating global CDOs of pooled
structured finance assets include revisions to our assumptions on
correlations, recovery rates, default patterns, and timings of the
collateral. The criteria also include supplemental stress tests
(the largest obligor default test and the largest industry default
test)," S&P said.
"In our analysis, we also considered the amount of defaulted
assets ($71.7 million, 14.3%) held in the portfolio and the
expected recovery for the transaction. We lowered the ratings on
classes F through J to 'D (sf)' from 'CCC- (sf)' due to our
determination that the classes are unlikely to be repaid in full,"
S&P said.
According to the June 25, 2012, trustee report, the transaction's
collateral assets totaled $499.8 million, while its liabilities
(including capitalized and defaulted interest) totaled $778.4
million, which is down from $880.4 million in liabilities at
issuance. The transaction's current asset pool includes 73 CMBS
classes from 34 distinct transactions issued between 1997 and
2006.
S&P's analysis reflected the transaction's exposure to these CMBS
certificates that the ratings agency has downgraded:
- COMM 2004-LB4A (class A5; $20.0 million, 4.0%);
- ML-CFC Commercial Mortgage Trust 2006-2 (class AJ; $20.0
million, 4.0%);
- CS First Boston Mortgage Securities Corp. 2002-CP5 (classes J
and K; $16.2 million, 3.2%); and
- Greenwich Capital Commercial Funding 2002-C1 (class K; $10.2
million; 2.0%).
The transaction structure does not include overcollateralization
or interest coverage tests, and does not benefit from interest or
principal diversion.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
RATINGS LOWERED AND REMOVED FROM CREDITWATCH
G-Force CDO 2006-1 Ltd.
Rating
Class To From
A-2 A- (sf) AAA (sf)/Watch Neg
A-3 CCC- (sf) CCC (sf)/Watch Neg
JRFL CCC- (sf) CCC (sf)/Watch Neg
F D (sf) CCC- (sf)/Watch Neg
G D (sf) CCC- (sf)/Watch Neg
H D (sf) CCC- (sf)/Watch Neg
J D (sf) CCC- (sf)/Watch Neg
RATING AFFIRMED AND REMOVED FROM CREDITWATCH
G-Force CDO 2006-1 Ltd.
Rating
Class To From
SSFL BB+ (sf) BB+ (sf)/Watch Neg
RATING AFFIRMED, REMOVED FROM CREDITWATCH, AND WITHDRAWN
G-Force CDO 2006-1 Ltd.
Rating
Class To Interim From
A-1 NR AAA (sf) AAA (sf)/Watch Neg
NR-Not rated.
GE CAPITAL 2001-3: Fitch Affirms 'Dsf' Rating on 3 Note Classes
---------------------------------------------------------------
Fitch Ratings has affirmed eight classes of GE Capital Commercial
Mortgage Corporation's commercial mortgage pass-through
certificates, series 2001-3.
The affirmations are due to sufficient credit enhancement after
consideration of expected losses. As of the July 2012
distribution date, the pool's certificate balance has been reduced
by 93% (including 3.8% in realized losses) to $67.8 million from
$963.8 million at issuance.
Although credit enhancement has increased, the pool has become
more concentrated, with adverse selection of concern. There are
only 15 loans remaining, eight of which (70.6% of the pool) are in
special servicing. One loan in the pool (2.3%) is defeased.
There are cumulative interest shortfalls in the amount of $2.6
million currently affecting classes I through K and classes M and
N.
The largest contributor to Fitch-modeled losses (2.68%) is secured
by a 114,421 square foot (sf) office building located in
Arlington, TX. The loan was transferred to special servicing in
November 2008 and became real-estate owned (REO) in April 2010.
The special servicer is pursuing a lease-up strategy before taking
the property to market.
Fitch affirms the following classes as indicated:
-- $5.2 million class F at 'Asf'; Outlook Stable;
-- $12.million class G at 'BBBsf'; Outlook Stable;
-- $27.7 million class H at 'CCCsf'; RE 100%;
-- $8.4 million class I at 'Csf'; RE 35%;
-- $7.2 million class J at 'Csf'; RE 0%;
-- $7.1 million class K at 'Dsf'; RE 0%;
-- Class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%.
Classes A-1, A-2, and B through E have repaid in full. Fitch does
not rate class N. Classes X-1 and X-2 have previously been
withdrawn.
GENERAL ELECTRIC 2003-1: Fitch Cuts Rating on Class G Certs to Csf
------------------------------------------------------------------
Fitch Ratings has downgraded one distressed class and upgraded one
class of General Electric Capital Assurance Company, series GFCM
2003-1 commercial mortgage pass-through certificates.
The downgrade is due to the increased likelihood of losses to the
already distressed class. The upgrade is due to sufficient credit
enhancement and stable performance of the pool.
Fitch modeled losses of 2.61% of the remaining pool; expected
losses of the original pool are at 1.3%, including 0.35% in
realized losses to date.
As of the July 2012 distribution date, the pool's certificate
balance has paid down 63.4% to $298.5 million from $822.6 million.
There are no defeased loans within the pool. Fitch identified 27
(21.7%) Loans of Concern, of which one (0.54%) is specially
serviced. Current cumulative interest shortfalls totaling
$217,747 are affecting classes G through J.
The only specially serviced loan in the pool is collateralized by
26,356 square foot (sf) office building located in Albuquerque,
NM. The loan transferred to special servicing in February 2012 for
monetary default. The property was vacant from June 2010 until
December 2011 when a new lease with the American Red Cross for
11,620 sf was signed. The special servicer reports that
negotiations are in progress with the borrower for a forbearance
while pursuing all rights and remedies of the trust.
The largest contributor to modeled losses is a loan (0.53%)
secured by a 81,900 sf warehouse building located in Rancho
Cordova, CA, a submarket of Sacramento. The property remains 29%
occupied since Fitch's last rating action with one tenant, CA Home
Furnishings, which is on a month-to-month lease. The loan has
been current since issuance.
The second largest contributor to modeled losses is a loan (0.95%)
secured by a 45,529 sf retail center located in Hoover, AL, a
suburb of Birmingham. The property's performance has suffered the
last several years due to declining occupancy. The servicer
reports that the property's first-quarter occupancy and debt
service coverage ratio (DSCR) was 37% and 0.23 times (x),
respectively.
Fitch downgrades the following class and assigns a Recovery
Estimate (REs) as indicated:
-- $7.1 million class G to 'Csf' from 'CCsf'; RE 75%.
Fitch upgrades the following class and revises Outlook as
indicated:
-- $11.3 million class B to 'AAAsf' from 'AA+'; Outlook to
Stable from Positive.
Fitch affirms the following classes as indicated:
-- $118.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $112.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- $13.3 million class C at 'A+sf'; Outlook Positive;
-- $11.3 million class D at 'BBBsf'; Outlook Stable;
-- $10.2 million class E at 'BBB-sf'; Outlook Stable;
-- $12.3 million class F at 'B-sf'; Outlook Negative;
-- $1.2 million class H at 'Dsf'; RE 0%;
-- Class J at 'Dsf'; RE 0%.
Classes A-1, A-2 and A-3 have paid in full. Fitch has previously
withdrawn the ratings on the interest-only class X.
GMAC-RFC: Moody's Takes Rating Actions on $362MM RMBS Tranches
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 27
tranches, upgraded the ratings of five tranches, and confirmed the
ratings of 13 tranches from 12 RMBS transactions, backed by
Scratch and Dent loans, issued by GMAC-RFC.
Ratings Rationale
The actions are a result of the recent performance review of
Scratch and Dent pools and reflect Moody's updated loss
expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "US RMBS Surveillance Methodology for Scratch
and Dent" published in May 2011. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
The rating action constitute of a number of upgrades as well as
downgrades. The upgrade are due to significant improvement in
collateral performance and/or faster-than-expected pay-down on
certain bonds owing mainly to liquidations. The downgrades are
primarily due to deteriorating collateral performance.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications and 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on scratch and dent pools with fewer than 100
loans, Moody's first calculates an annualized delinquency rate
based on strength of the collateral, number of loans remaining in
the pool and the level of current delinquencies in the pool. For
scratch and dent, Moody's first applies a baseline delinquency
rate of 11% for standard transactions and 3% for strongest prime-
like deals. Once the loan count in a pool falls below 76, this
rate of delinquency is increased by 1% for every loan fewer than
76. For example, for a standard pool with 75 loans, the adjusted
rate of new delinquency is 11.1%. Further, to account for the
actual rate of delinquencies in a small pool, Moody's multiplies
the rate calculated above by a factor ranging from 0.75 to 2.5 for
current delinquencies that range from less than 2.5% to greater
than 30% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: GMACM Mortgage Loan Trust 2003-GH2
Cl. M-2, Downgraded to Ba3 (sf); previously on Apr 19, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. B, Confirmed at Caa1 (sf); previously on Apr 19, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: GMACM Mortgage Loan Trust 2004-GH1
Cl. A-5, Downgraded to A3 (sf); previously on May 19, 2011
Downgraded to A2 (sf)
Cl. M-1, Confirmed at Baa3 (sf); previously on Apr 19, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at B3 (sf); previously on Apr 19, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Issuer: RAAC 2006-SP2 Trust
Cl. A-2, Upgraded to Baa2 (sf); previously on Apr 19, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-3, Upgraded to Ba2 (sf); previously on Apr 19, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: RAAC Series 2004-SP1 Trust
Cl. M-1, Confirmed at B2 (sf); previously on Apr 19, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Issuer: RAAC Series 2004-SP2 Trust
Cl. A-I, Downgraded to B1 (sf); previously on Apr 19, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-II-PO, Confirmed at B2 (sf); previously on Apr 19, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2004-SP3 Trust
Cl. A-I-4, Confirmed at Baa1 (sf); previously on Apr 19, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-II, Confirmed at A3 (sf); previously on Apr 19, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. M-I-1, Confirmed at B1 (sf); previously on Apr 19, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Confirmed at Baa3 (sf); previously on Apr 19, 2012
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-SP1 Trust
Cl. A-I-2, Downgraded to Ba3 (sf); previously on Apr 19, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-5, Downgraded to Ba1 (sf); previously on May 19, 2011
Downgraded to Baa3 (sf)
Cl. A-I-6, Downgraded to Ba2 (sf); previously on May 19, 2011
Downgraded to Baa3 (sf)
Cl. A-I-PO, Downgraded to Ba3 (sf); previously on Apr 19, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-II-1, Downgraded to Baa3 (sf); previously on May 19, 2011
Downgraded to A3 (sf)
Cl. A-II-9, Downgraded to Ba1 (sf); previously on May 19, 2011
Downgraded to Baa3 (sf)
Cl. A-III-1, Downgraded to Ba3 (sf); previously on Apr 19, 2012
Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. A-III-6, Confirmed at Aa3 (sf); previously on Apr 19, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-III-7, Downgraded to Ba3 (sf); previously on Apr 19, 2012
Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. A-III-9, Downgraded to B1 (sf); previously on May 19, 2011
Downgraded to Ba2 (sf)
Cl. A-IV-1, Downgraded to Ba3 (sf); previously on May 19, 2011
Downgraded to Ba1 (sf)
Cl. A-IV-2, Downgraded to Ba3 (sf); previously on May 19, 2011
Downgraded to Ba1 (sf)
Cl. A-IV-IO, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. A-IV-PO, Downgraded to Ba3 (sf); previously on May 19, 2011
Downgraded to Ba2 (sf)
Cl. M-1, Downgraded to Caa3 (sf); previously on May 19, 2011
Downgraded to Caa2 (sf)
Issuer: RAAC Series 2005-SP2 Trust
Cl. A-I-3, Downgraded to Aa2 (sf); previously on May 19, 2011
Confirmed at Aaa (sf)
Cl. M-I-2, Upgraded to B3 (sf); previously on Apr 19, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: RAAC Series 2005-SP3 Trust
Cl. M-1, Upgraded to Ba2 (sf); previously on Apr 19, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to C (sf)
Issuer: RAAC Series 2006-SP3 Trust
Cl. A-3, Confirmed at B1 (sf); previously on Apr 19, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: RAMP Series 2004-SL1 Trust
Cl. A-I-2, Downgraded to Aa2 (sf); previously on Apr 19, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to A2 (sf); previously on May 19, 2011
Confirmed at Aa2 (sf)
Cl. M-I-2, Downgraded to Baa1 (sf); previously on May 19, 2011
Confirmed at A1 (sf)
Cl. M-I-3, Downgraded to Baa3 (sf); previously on May 19, 2011
Confirmed at A2 (sf)
Cl. M-I-4, Downgraded to Ba1 (sf); previously on May 19, 2011
Confirmed at A3 (sf)
Cl. M-I-5, Downgraded to B1 (sf); previously on May 19, 2011
Confirmed at Baa1 (sf)
Cl. M-I-6, Downgraded to B3 (sf); previously on Apr 19, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-7, Downgraded to Caa1 (sf); previously on Apr 19, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-SL2 Trust
Cl. A-III, Confirmed at A3 (sf); previously on Apr 19, 2012 A3
(sf) Placed Under Review for Possible Upgrade
Cl. A-IV, Confirmed at A3 (sf); previously on Apr 19, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-I-IO, Downgraded to Ba3 (sf); previously on May 19, 2011
Downgraded to A1 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292163
A list of updated estimated pool losses and sensitivity analysis
is being posted on an ongoing basis for the duration of this
review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004
GREENWICH CAPITAL: Fitch Downgrades Rating on Three Cert. Classes
-----------------------------------------------------------------
Fitch Ratings downgrades three classes of Greenwich Capital
Commercial Funding Corporation Commercial Mortgage Trust series
2002-C1, commercial mortgage pass-through certificates.
The downgrades are primarily due to an increase in Fitch expected
losses. Fitch modeled losses of 3.4% of the remaining pool;
expected losses of the original pool are at 5.7%, including losses
already incurred to date. Fitch has designated nine loans (21.3%)
as Fitch Loans of Concern, including four specially serviced loans
(7.8%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has reduced by 67.6% to $381.8 million from
$1.18 billion at issuance. Interest shortfalls are affecting
classes M through Q with cumulative unpaid interest totaling $1.6
million. The transaction has become increasingly concentrated
with only 34 loans remaining in the pool. Seven loans (22.4%) are
defeased, five of which are among the top 15 loans.
The largest contributor to Fitch modeled losses is a 266 room
limited service hotel located in Dayton, OH. The loan was
transferred to special servicing in November 2008 due to the
borrower's request for loan modification. The borrower filed
bankruptcy in June 2010 after the special servicer initiated the
foreclosure process. The special servicer continues to work
through the bankruptcy court to cure the default.
The second largest contributor to Fitch modeled losses is a 49,416
square foot (sf) mixed used retail/office property located in
Greenwood Village, CO. The loan has been on the master servicer
watchlist since June 2006 due to declining occupancy and debt
service coverage ratio (DSCR). The borrower has been funding the
property operating shortfalls out of pocket and recently requested
a loan modification. The loan matures on November 2012. The most
recent servicer reported year end (YE) 2011 DSCR was 0.34x with
58% occupancy rate, compared to a DSCR of 0.55x at YE2010 with 64%
occupancy rate. The borrower has signed two new leases which are
expected to increase occupancy to 69% with projected DSCR at
0.62x. The loan remains current.
Fitch has downgraded the following classes as indicated:
-- $20.4 million class L to 'CCCsf' from 'Bsf'; RE95%;
-- $8.7 million class M to 'C/sf' from 'CCCsf';RE0%;
-- $4.3 million class N to 'D' from 'CCsf';RE0%.
Fitch has affirmed the following classes as indicated:
-- $171.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $46.5 million class B at 'AAAsf'; Outlook Stable;
-- $11.6 million class C at 'AAAsf'; Outlook Stable;
-- $14.5 million class D at 'AAAsf'; Outlook Stable;
-- $20.4 million class E at 'AAAsf'; Outlook Stable;
-- $16 million class F at 'AAAsf'; Outlook Stable;
-- $16 million class G at 'AAAsf; Outlook Stable;
-- $17.4 million class H at 'AA+sf; Outlook Stable;
-- $14.5 million class J at 'Asf'; Outlook to Stable;
-- $20.4 million class K at 'BBBsf'; Outlook Negative.
Classes O and P have been depleted due to losses and remain at
'Dsf/RE0%'. Fitch does not rate class Q. Class A-1, A-2, A-3,
the interest-only classes XPB and XP, and non-rated class SWD-B
are paid in full. Fitch has previously withdrawn the rating of
the interest-only class XC.
HEWETT'S ISLAND V: S&P Affirms 'CCC-' Rating on Class E; Off Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Hewett's Island CLO V Ltd., a U.S.
collateralized loan obligation (CLO) managed by CypressTree
Investment Management Co. Inc. "Simultaneously, we affirmed our
ratings on the class A-R, A-T, D, and E notes. We removed the
ratings on the class B, C, D, and E notes from CreditWatch, where
we placed them with positive implications on April 18, 2012," S&P
said.
"The upgrades reflect improving credit support, primarily due to
stronger credit quality of the assets and a lower level of
defaults, since our December 2010 rating actions. The rating
affirmations reflect sufficient credit enhancement at the current
rating levels," S&P said.
"As of the May 29, 2012, monthly report, the transaction's
portfolio had $20.66 million in 'CCC' rated assets, down from
$21.64 million in the Nov. 30, 2010, monthly report, which we used
for the December 2010 rating actions. When calculating the
overcollateralization (O/C) ratios, the trustee haircuts from the
O/C numerator a portion of the 'CCC' rated collateral that exceed
the threshold specified in the transaction documents. This
threshold has not breached since our December 2010 rating actions.
Therefore, there is no haircut in the May 2012 O/C calculations as
a result of this metric," S&P said.
"Similarly, the amount of defaulted obligations held in the
transaction's underlying portfolio declined during this period.
According to the May 2012 trustee report, the transaction held
$6.00 million in defaulted assets, down from $14.07 million in the
November 2010 trustee report," S&P said.
Finally, the transaction's class A/B, C, D, and E O/C ratio tests
have improved over the same period, and the weighted average
spread has increased by 0.22%.
"Standard & Poor's notes that the transaction is currently passing
its interest diversion O/C test. The transaction is structured
such that failure of this test will, during the reinvestment
period of the transaction, divert a specified amount of excess
interest proceeds--equal to lesser of 60.00% of the available
interest proceeds and the amount necessary to cure the test. A
portion of this specified amount is to be deposited into the
principal collection account for reinvestment, while the remaining
is used to pay down the class E notes. The transaction has failed
this test in the period since our December 2010 rating actions,
resulting in a $0.85 million paydown to the class E notes. Based
on the May 2012 trustee report, the interest diversion O/C test
result was 103.91%, compared with a required minimum of 103.20%,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
RATING AND CREDITWATCH ACTIONS
Hewett's Island CLO V Ltd.
Rating
Class To From
B AA- (sf) A+ (sf)/Watch Pos
C A (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
E CCC- (sf) CCC- (sf)/Watch Pos
RATINGS AFFIRMED
Hewett's Island CLO V Ltd.
Class Rating
A-R AA+ (sf)
A-T AA+ (sf)
INDYMAC MANUFACTURED 1998-2: S&P Keeps D Ratings on 4 Cert Classes
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-3 and A-4 certificates from IndyMac Manufactured Housing
Contract Pass-Through Certificates 1998-2. "Our ratings on the M-
1, M-2, B-1, and B-2 classes remain at 'D (sf)'," S&P said.
"The affirmed ratings on the certificates reflect our view that
the total credit support as a percent of the amortizing pool
balance, compared with our expected remaining losses, is adequate
for each of the affirmed ratings. In addition, the affirmations
reflect the transaction's collateral performance, our views
regarding future collateral performance, and the structure of the
transaction. Furthermore, our analysis incorporated secondary
credit factors, such as credit stability, payment priorities under
various scenarios, and sector- and issuer-specific analysis. Our
ratings on classes M-1, M-2, B-1, B-2 remain at 'D (sf)' due to
continued payment defaults resulting from interest shortfalls,"
S&P said.
"The transaction continues to perform significantly worse than
initially expected. However, we are maintaining our lifetime
cumulative net loss expectation from our last review in 2010 at
31%. We believe the level of subordination through the remaining
class M-1 certificate balance is sufficient to cover expected
remaining losses at the affirmed rating levels for the class A-3
and A-4 certificates," S&P said.
"As of the June 2012 distribution date, the transaction had a pool
factor of 8.66% and a cumulative net loss rate of 26.84%. The
delinquency balances are high with 20.47% of the current pool 60-
plus-days delinquent and 19.24% 90-plus-days delinquent. In our
opinion, the delinquency rates compare unfavorably to peer
transactions, which factored heavily into our analysis," S&P said.
"The transaction documents structured series 1998-2 with a
sequential principal payment structure. If the transaction meets
certain performance tests defined in the transaction documents,
and credit enhancement is at its targeted level on or after a
defined date, the mezzanine and subordinate tranches will receive
a pro rata share of principal with the class A certificates. The
transaction has been unable to meet the performance tests, and as
such, the mezzanine and subordinate certificates have not received
any principal payments to date. The class A certificates,
including the class A-2 note--which we downgraded to 'D (sf)'
because it passed its legal final distribution date--are currently
receiving principal payments pro rata due to distribution of
principal shortfall amounts. We expect this to continue in the
future," S&P said.
"A combination of subordination and overcollateralization
originally provided credit enhancement for the class A
certificates. However, due to higher-than-expected losses,
overcollateralization, along with the class M-2, B-1, and B-2
certificates, have been fully depleted. Currently, the class M-1
certificates, which totaled 63.70% of the current pool balance as
of the June distribution date, are providing the only hard credit
enhancement to the class A certificates. We believe the level of
subordination is sufficient to cover expected remaining losses at
the affirmed rating levels," S&P said.
"Standard & Poor's will continue to monitor the performance of
this transaction to consider whether the credit enhancement
remains sufficient, in our view, to cover our revised cumulative
net loss expectation under our stress scenarios for the affirmed
ratings," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
IndyMac Manufactured Housing Contract Pass-Through Certificates
1998-2
Class Rating
A-3 BB (sf)
A-4 BB (sf)
OTHER RATINGS OUTSTANDING
IndyMac Manufactured Housing Contract Pass-Through Certificates
1998-2
Class Rating
M-1 D (sf)
M-2 D (sf)
B-1 D (sf)
B-2 D (sf)
JP MORGAN 2011-C1: Fitch Junks Rating on $9MM Class J Certificate
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and upgraded one class of
J.P. Morgan Chase Commercial Mortgage Securities Corp.'s (JPMC)
commercial mortgage pass-through certificates, series 2001-C1.
The downgrade reflects an increase in actual and expected losses,
the majority of which are attributed to specially serviced loans
that have liquidated since Fitch's last rating action. The
upgrade is a result of principal paydown resulting in increased
credit enhancement to the class sufficient to offset Fitch
expected losses.
Fitch modeled losses of 24.72% of the remaining pool; expected
losses of the original pool are at 4.70% (which includes 3.75% in
realized losses). Fitch has designated six loans (79.92%) as
Fitch Loans of Concern, which includes five specially serviced
loans (51.58%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced 89.01% (including realized
losses) to $39.66 million from $1.07 billion at issuance. There
are 11 of the original 180 loans remaining in the transaction.
One loan (12.46%) is defeased. Interest shortfalls are affecting
classes J, K, L, M and NR.
The largest specially serviced loan (26.75% of pool balance) is
secured by a 200 unit multifamily property in Holland, OH. The
loan had transferred to special servicing in June 2010 for
monetary default. The borrower had filed for bankruptcy in August
2011. The bankruptcy stay was lifted in May 2012 and the servicer
is currently pursuing foreclosure.
The second largest specially serviced loan (8.4%) is secured by a
vacant 123,226 square foot (sf) industrial warehouse building
located in Franklin Park, IL. The loan had transferred to special
servicing in December 2008 due to imminent default. The servicer
has reported that due to a planned state highway project the
Illinois Department of Transportation (IDOT) has deemed the
property eminent domain. The State is in the 3rd phase of their
due-diligence and a purchase offer is expected by third quarter
2012.
Fitch upgrades the following class:
-- $969,344 class G to 'AAAsf' from 'AA-sf'; Outlook Stable.
Fitch downgrades the following class and assigns Recovery Estimate
as indicated:
-- $9 million class J to 'Csf' from 'B-sf'; RE 80%.
Fitch also affirms the following classes:
-- $21.9 million class H at 'BBBsf'; Outlook Stable;
-- $6.4 million class K at 'Csf'; RE 0%;
-- $1.3 million class L at 'Dsf'; RE 0%
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%.
Classes M, N, and the unrated class NR have been reduced to zero
due to realized losses. Classes A-1, A-2, A-3, B, C, D, E, F, and
rake classes NC-1 and NC-2 have paid in full.
Fitch had previously withdrawn the rating on the interest-only
class X-1. The interest only X-2 class has paid in full.
KINDER MORGAN 2002-6: Moody's Cuts Rating on Cl. A Certs. to Ba2
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of the
following certificates issued by Corporate Backed Trust
Certificates, Kinder Morgan, Inc. Debenture Backed Series 2002-6:
US$10,574,190 Class A Certificates due March 1, 2098, Downgraded
to Ba2; previously on October 19, 2011 Ba1 Placed Under Review for
Possible Downgrade
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the underlying securities and the legal structure of the
transaction. The rating action is the result of the change of the
rating of the underlying securities which are the 7.45% Senior
Debentures issued by Kinder Morgan, Inc. which were downgraded to
Ba2 by Moody's on July 17, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the ratings are a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
LNR CDO III: S&P Affirms 'CCC-' Ratings on 7 Classes; Off Watch
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'CCC- (sf)'
ratings on seven classes from LNR CDO III Ltd., a commercial real
estate collateralized debt obligation (CRE CDO) transaction, and
removed them from CreditWatch with negative implications.
"The affirmations reflect our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria for rating global CDOs of
pooled structured finance assets," S&P said.
"Our criteria for rating global CDOs of pooled structured finance
assets include revisions to our assumptions on correlations,
recovery rates, and the collateral's default patterns and timings.
The criteria also include supplemental stress tests (the largest
obligor default test and the largest industry default test) in our
analysis," S&P said.
According to the June 25, 2012, trustee report, LNR CDO III Ltd.
was collateralized by 149 CMBS classes ($590.7 million, 100%) from
46 distinct transactions issued between 1997 and 2004.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
LNR CDO III Ltd.
Rating
Class To From
C CCC- (sf) CCC- (sf)/Watch Neg
D CCC- (sf) CCC- (sf)/Watch Neg
E-FX CCC- (sf) CCC- (sf)/Watch Neg
E-FL CCC- (sf) CCC- (sf)/Watch Neg
F-FX CCC- (sf) CCC- (sf)/Watch Neg
F-FL CCC- (sf) CCC- (sf)/Watch Neg
G CCC- (sf) CCC- (sf)/Watch Neg
MADISON PARK IX: S&P Rates $22-Mil. Class E Deferrable Notes 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Madison
Park Funding IX Ltd./Madison Park Funding IX LLC's $462.0 million
floating- and fixed-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior-secured loans.
The ratings reflect S&P's view of:
- The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
- The transaction's legal structure, which is expected to be
bankruptcy remote.
- The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
- The portfolio manager's experienced management team.
- Projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed using
its cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.5%.
- "The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding," S&P said.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying
subordinated portfolio manager fees, uncapped administrative
expenses and fees, portfolio manager incentive fees, and
payments to the subordinated notes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Madison Park Funding IX Ltd./Madison Park Funding IX LLC
Class Rating Amount
(mil. $)
A AAA (sf) 319.00
B-1 AA (sf) 48.00
B-2 AA (sf) 8.00
C-1 (deferrable) A (sf) 14.00
C-2 (deferrable) A (sf) 22.00
D (deferrable) BBB (sf) 29.00
E (deferrable) BB (sf) 22.00
Subordinated notes NR 61.00
NR-Not rated.
MERRILL LYNCH: Moody's Downgrade No Impact on Clear PLC Ratings
---------------------------------------------------------------
Moody's Investors Service stated that the ratings of notes issued
by Credit-Linked Enhanced Asset Repackagings PLC (the "Issuer")
will not be affected by the recent downgrade of Merrill Lynch &
Co., Inc. ("Merrill Lynch").
Following the downgrade on June 21, 2012 of its long term senior
unsecured rating to Baa2, Merrill Lynch International ("MLI"), as
the Counterparty is required to take certain remedial actions
pursuant to the terms of the related transaction documentations.
However, Merrill Lynch has proposed not to take any remedial
action in response to its recent downgrade (the "Proposal").
In light of the current ratings of the transaction, Moody's
Investors Service has determined that the Proposal will not in and
of itself and at this time cause the current Moody's ratings of
the notes of the Issuer to be reduced or withdrawn. Moody's
believes that the Proposal does not have an adverse effect on the
credit quality of the securities such that the Moody's ratings are
impacted. Moody's does not express an opinion as to whether the
Proposal could have other, non credit-related effects.
The principal methodology used in these ratings was "Moody's
Approach to Rating Corporate Collateralized Synthetic Obligations"
published in September 2009.
Other methodologies and factors that may have been considered in
the process of providing this opinion can also be found at
www.moodys.com in the Credit Policy & Methodologies directory, in
the Ratings Methodologies subdirectory.
Moody's will continue monitoring these ratings. Any change in the
ratings will be publicly disseminated by Moody's through
appropriate media.
Tranches Covered:
Series 18: EUR 113,000,000 Limited Recourse Secured Floating Rate
CLN due 2017, Rated Caa3(sf)
Series 24: USD 13,000,000 Limited Recourse Secured Floating Rate
Credit-Linked Notes due 2017, Rated Ca(sf)
Series 28: USD 7,000,000 Limited Recourse Secured Floating Rate
Credit-Linked Notes due 2017, Rated C(sf)
Series 29: USD 40,000,000 Limited Recourse Secured Floating Rate
Credit-Linked Notes due 2017, Rated C(sf)
Series 30: USD 30,000,000 Limited Recourse Secured Floating Rate
Credit Linked Notes due 2017, Rated Ca(sf)
Series 45: USD 10,000,000 Limited Recourse Secured Floating Rate
Credit Linked Notes due 2017, Rated Caa3(sf)
MINCS-CENTURION: Fitch Affirms Junk Rating on $14MM Secured Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed one class of notes issued by MINCS-
Centurion V, Ltd. (MINCS) and revised the Recovery Estimate (RE)
as follows:
-- $14,966,270 third priority secured notes affirmed at 'Csf';
RE to 55% from 40%.
The affirmation is based upon Fitch's expectation that there will
be insufficient proceeds available to repay the notes by their
stated maturity date in March 2013. At the MINCS last payment
date on June 27, 2012, approximately $42 million in proceeds from
the liquidated MINCS collateral were used to partially repay the
notes' original $57 million principal balance following payments
to the credit swap counterparty. Estimated recoveries from the
remaining $8 million of loans and equity are not expected to be
sufficient to cover the current MINCS note balance at its maturity
date in March 2013.
SEQUILS Centurion V Ltd. (SEQUILS) and MINCS are a cash flow and
synthetic collateralized loan obligation (CLO), respectively,
jointly obtaining exposure to a portfolio of high yield U.S.
senior bank loans. Proceeds from the issuance of the SEQUILS
notes were invested in senior bank loans. The SEQUILS class B
notes were paid in full on June 26, 2012.
The SEQUILS issuer entered into a credit swap with Morgan Guaranty
Trust Company of New York (MGT; ultimate parent JPMorgan Chase &
Co.) that provides credit protection to SEQUILS. MGT
simultaneously entered into a credit swap with MINCS. MINCS'
obligation under that swap was collateralized with $57 million of
securities purchased with the proceeds from the sale of the MINCS
notes.
Under the SEQUILS credit swap, MGT pays the amount of each
quarter's principal losses up to the SEQUILS credit swap
threshold. The balance of principal reimbursement received from
MGT is paid back with excess spread from the SEQUILS interest
waterfall in the same or subsequent pay periods, and any
additional interest proceeds are used to fund the MINCS interest
waterfall. Any outstanding SEQUILS credit swap balance at the
final payment date is repaid to MGT from the MINCS collateral
prior to repayment of principal on the MINCS notes.
This rating action is the result of an external appeal committee
decision which has produced an outcome that is different than the
initial committee decision which was appealed.
MORGAN STANLEY 2004-HQ4: Losses Prompt Fitch to Lower Ratings
-------------------------------------------------------------
Fitch Ratings has downgraded two distressed classes of Morgan
Stanley Capital I Trust's (MSCI) commercial mortgage pass-through
certificates, series 2004-HQ4.
The downgrades reflect more certainty of losses for specially
serviced loans; therefore, the already distressed bonds are being
downgraded. Fitch modeled losses of 4.20% of the remaining pool;
modeled losses of the original pool are at 5.11%, including losses
already incurred to date. There are currently five specially
serviced assets (5.22%) in the pool, two of which (3.27%) are
within the transaction's top 15 loans by unpaid principal balance.
Of the original 117 loans, 92 loans remain outstanding. As of the
June 2012 distribution date, the pool's aggregate principal
balance has reduced by 28% to $986 million from $1.37 billion at
issuance. In addition seven loans (6.77%) have been fully
defeased. Interest shortfalls totaling $2,019,872 are currently
affecting classes J through Q. The transaction is highly
concentrated regionally with 38.1% located in the state of
California.
The largest contributor to modeled losses is a 112,000 square foot
(sf) property (1.85%) located in Roseville, CA. The loan
transferred to Special Servicing in October 2008 due to monetary
default. Foreclosure took place in April 2011 and the special
servicer has engaged CBRE for property management and leasing.
The second largest contributor to modeled losses is 409,681 sf of
industrial/warehouse space (.85%) located in Foxborough, MA. The
loan transferred to Special Servicing in April 2011 due to
monetary default. The property has reported negative cash flow
since third-quarter 2007 and has a servicer reported occupancy of
64%. The loan was foreclosed on in December 2011 and the title
was recorded in January 2012.
The third largest contributor to modeled losses is a 33,842 sf
medical office space (.39%) consisting of three single story
buildings located in Novi, MI. The loan transferred to Special
Servicing in February 2011 due to monetary default. The trust was
the winning bidder at the foreclosure sale in September 2011.
Disposition strategies are currently being evaluated.
Fitch downgrades and assigns Recovery Estimates (REs) as
indicated:
-- $12 million class H to 'CCsf' from 'CCCsf'; RE 90%.
-- $15.4 million class J to 'Csf' from 'CCsf'; Re 0%.
Fitch also affirms the following classes and assigns Rating
Estimates (REs) as indicated:
-- $77.7 million class A-6 at 'AAAsf'; Outlook Stable;
-- $776.2 million class A-7 at 'AAsf'; Outlook Stable;
-- $15.4 million class B at 'Asf'; Outlook Stable;
-- $18.8 million class C at 'BBBsf'; Outlook Stable;
-- $13.7 million class D at 'BBB-sf'; Outlook Stable;
-- $24 million class E at 'BBsf; Outlook Stable;
-- $10.3 million class F at 'Bsf'; Outlook Negative;
-- $12 million class G at 'B-sf'; Outlook Negative;
-- $5.1 million class K at 'Csf'; RE 0%;
-- $5.1 million class L at 'Csf'; RE 0%;
-- $447 thousand class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O to 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
Class Q, which is not rated by Fitch has been reduced to zero due
to realized losses. Class A-1, A-2, A-3, A-4, and A-5 have paid
in full.
MORGAN STANLEY 2004-IQ8: Fitch Lowers Rating on 5 Cert. Classes
---------------------------------------------------------------
Fitch Ratings has downgraded five classes of Morgan Stanley
Capital I Trust commercial mortgage pass-through certificates,
series 2004-IQ8.
The downgrades are primarily due to an increase in Fitch expected
losses. Fitch modeled losses of 3.9% of the remaining pool;
expected losses of the original pool are at 4.1%, including losses
already incurred to date. Fitch has designated 14 loans (12%) as
Fitch Loans of Concern, including three specially serviced loans
(2.7%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has reduced by 43.5% to $428.9 million from
$759.2 million at issuance. Interest shortfalls are affecting
classes J through O with cumulative unpaid interest totaling $0.7
million. Four loans (8.6%) are defeased.
The largest contributor to Fitch modeled losses is a 123,948 sf
retail property in Cape May, NJ. The property is 100% master
leased to Superfresh (lease ending February 2024) and the lease
was guaranteed by the parent company A&P which filed bankruptcy in
December 2011. Superfresh occupied 36% of the property and
subleased the remaining space. Superfresh closed in March 2011.
As of the May 2012 rent roll, the property was 55%, unchanged from
YE2011 but decreased from 100% at YE2010. Servicer reported year-
end (YE) 2011 debt service coverage ratio (DSCR) was 0.93x,
compared to 1.43x at YE2010.
The second largest contributor to Fitch modeled losses is a 94,304
sf office property with three rental units in Germantown, MD.
YE2010 occupancy dropped to 34% from 100% at YE2009 due to a major
tenant (55.4%) vacating in early 2010, prior to lease expiration
after filing for bankruptcy. The property's physical occupancy
increased to 100% in August 2011 as a new tenant executed a lease
for the vacant space with 12 months free rent. The second largest
tenant's (15.2%) lease ends in September 2012 with renewal options
of one to three months. The servicer reported YE2011 DSCR was
0.40x, compared to 1.49x at YE2010.
Fitch downgrades the following classes, revised the rating outlook
and assigned/revised recovery ratings as indicated:
-- $8.5 million class E to 'Bsf' from 'BBsf'; Outlook to
Negative from Stable;
-- $4.7 million class F to 'CCCsf' from 'Bsf'; RE70%;
-- $6.6 million class G to 'CCsf' from 'B-sf; RE0%;
-- $5.7 million class H to 'Csf' from 'CCCsf';RE0%;
-- $2.8 million class J to 'Csf' from 'CCCsf';RE0%.
Fitch also affirms the following classes as indicated:
-- $351.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- $19.0 million class B at 'AAsf'; Outlook Stable;
-- $21.8 million class C at 'Asf'; Outlook to Negative from
Stable;
-- $7.6 million class D at 'BBB-sf'; Outlook to Negative from
Stable;
-- $0.4 million class K at 'Dsf'; RE0%.
Classes L, M and N have been depleted due to losses and remain at
'Dsf/RE0%'. Class A1, A2, A3 and A4 have paid in full. Fitch
does not rate the class O. Fitch has previously withdrawn the
ratings on the interest-only classes X1 and X2.
MORGAN STANLEY 2012-C5: Moody's Rates Class H Certs. '(P)B2'
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
sixteen classes of CMBS securities, issued by Morgan Stanley Bank
of America Merrill Lynch Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C5:
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-S, Assigned (P)Aaa (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. X-B*, Assigned (P)Aa2 (sf)
Cl. X-C*, Assigned (P)B1 (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. PST**, Assigned (P)A1 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa1 (sf)
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. G, Assigned (P)Ba3 (sf)
Cl. H, Assigned (P)B2 (sf)
* Interest Only Classes
** Class PST represents 50% of outstanding principle balance of
Classes A-S, B, and C trust component
Ratings Rationale
The Certificates are collateralized by 72 fixed rate loans secured
by 98 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.55X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.01X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 102.0% (excluding 635 Madison - Leased
Fee) is lower than the 2007 conduit/fusion transaction average of
110.6%. Moody's Total LTV ratio, (inclusive of subordinated debt)
of 113.0% is also considered when analyzing various stress
scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 22.9, which is in-line with other multi-
borrower pools rated by Moody's since 2009. The score is in-line
with previously rated conduit and fusion transactions but higher
than previously rated large loan transactions.
With respect to property level diversity, the pool's property
level Herfindahl score is 23.7. Seven loans (10.8% of the pool
balance) are secured by multiple properties. Loans secured by
multiple properties benefit from lower cash flow volatility given
that excess cash flow from one property can be used to augment
another's cash flow to meet debt service requirements. These loans
also benefit from the pooling of equity from each underlying
property.
Moody's assigned an credit assessment for two loans. Silver Sands
Factory Stores, representing approximately 7.4% of the pool
balance, was assigned a credit assessment of Baa3 and 635 Madison
-- Leased Fee, representing approximately 4.7% of the pool balance
was assigned a credit assessment of Baa3. Loans assigned
investment grade credit assessments are not expected to contribute
any loss to a transaction in low stress scenarios, but are
expected to contribute minimal amounts of loss in high stress
scenarios.
In terms of structure, the transaction contains a unique class.
The initial certificate balance of the class PST certificates is
equal to 50% of the aggregate initial certificate balances of
Classes A-S, B and C. Moody's considers the probability of
certificate default as well as the estimated severity of loss when
assigning a rating. As a thick vertical tranche, Class PST has the
default characteristics of the lowest rated component certificate
((P) A2), but a very high estimated recovery rate if a default
occurs given the certificate's thickness. Considering both
probability of default and recovery, Moody's provisional
assessment of expected loss for the PST certificate is
commensurate with an A1 rating.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The weighted
average grade for the pool is 1.99, which is better than the
indices calculated in most multi-borrower transactions since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 22%, the model-indicated rating for the currently
rated junior Aaa class would be Aaa, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
NEUBERGER BERMAN XII: S&P Rates $18-5-Mil. Class E Notes 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Neuberger Berman CLO XII Ltd./ Neuberger Berman CLO XII
LLC's $357.85 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of July 17,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
- The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
- The transaction's legal structure, which is expected to be
bankruptcy remote.
- The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
- The asset manager's experienced management team.
- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3439%-12.6500%.
- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
PRELIMINARY RATINGS ASSIGNED
Neuberger Berman CLO XII Ltd./Neuberger Berman CLO XII LLC
Class Rating Amount
(mil. $)
X AAA (sf) 2.0
A AAA (sf) 252.0
B AA (sf) 42.75
C (deferrable) A (sf) 27.1
D (deferrable) BBB (sf) 15.5
E (deferrable) BB (sf) 18.5
Subordinated notes NR 42.15
NR-Not rated.
OZLM FUNDING: S&P Assigns 'BB' Rating on Class D Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to OZLM
Funding Ltd./OZLM Funding LLC's $459.00 million floating-rate
notes.
The transaction is a cash flow collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's assessment of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
The asset manager's experienced management team.
The ratings agency's projections regarding the timely interest
and ultimate principal payments on the rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned ratings under various interest-
rate scenarios, including LIBOR ranging from 0.34%-12.65%.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111730.pdf
RATINGS ASSIGNED
OZLM Funding Ltd./OZLM Funding LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 322.80
A-2 AA (sf) 58.00
B (deferrable) A (sf) 37.50
C (deferrable) BBB (sf) 19.10
D (deferrable) BB (sf) 21.60
Subordinated notes NR 51.70
NR-Not rated.
PIMA COUNTY IDA: Fitch Cuts Rating on $8.4MM Bonds to 'BB+'
-----------------------------------------------------------
Fitch Ratings has downgraded the rating on revenue bonds issued by
the Industrial Development Authority of the County of Pima,
Arizona, on behalf of Cambridge Academy East (the school or CAE)
as follows:
-- $8.4 million charter school revenue bonds, series 2010 to
'BB+' from 'BBB-'.
The Rating Outlook is revised to Negative from Stable.
Fitch recently published an exposure draft of the charter school
rating criteria (Charter School Rating Criteria: Exposure Draft,
dated July 19, 2012). The draft includes a number of proposed
amendments to existing criteria. If applied in the proposed form,
the exposure draft would trigger a substantial number of
downgrades to existing charter school ratings. After the exposure
draft comment period and upon the publication of the new criteria,
Fitch expects to place on Rating Watch Negative those schools it
views at risk of downgrades, which could include all charter
school ratings. Fitch would then conduct full rating reviews for
those schools over the following six months, utilizing the new
criteria.
SECURITY
The bonds are a general obligation of CAE, secured by a first
mortgage on the financed facilities. The trustee receives
payments directly from the state to cover debt service.
KEY RATING DRIVERS
WEAK OPERATING CHARACTERISTICS: The downgrade reflects primarily
CAE's negative margin for fiscal 2011 and expectation for stressed
performance to continue into fiscal 2012, sustained operating
pressure with declining state funding levels and slower than
expected enrollment ramp up.
UNCERTAIN FUTURE FINANCIAL PERFORMANCE: The Negative Outlook
acknowledges CAE's weak operating characteristics that are further
amplified by a sizeable future expense, bond debt service
following a period of capitalized interest and potential revenue
diminishment from lower per pupil aid payments.
HIGH DEBT BURDEN: Pro forma maximum annual debt service (MADS)
consumes 21% of operating revenues, which is quite high, but
typical of the sector and somewhat offset by limited future debt
needs.
STANDARD CHARTER RISKS: CAE, like other charters, is subject to
renewal risk and state funding volatility. CAE is also exposed to
operational risk due to reliance on external party contracts for
key management positions.
WHAT COULD TRIGGER A RATING ACTION
CONTINUED FISCAL IMBALANCE: A continued trend of negative margins
and inability to service debt with income from operations would
likely lead to a rating downgrade.
ENROLLMENT CHALLENGES: A failure to maintain and grow the current
level of students at both campuses would place additional pressure
on operations.
CREDIT PROFILE
CAE's downgrade is based on weaker than expected fiscal 2011
performance, including particularly a negative 9% operating
margin. Operating stress was driven by state aid cuts (down 8%
from the prior year) and high depreciation expense for the year,
reflecting the capital improvements to the school campuses from
the 2010 bond issuance. Additionally, weak operating results are
expected again in fiscal 2012 and additional expenses, mainly
related to bond debt service payment, which will further strain
CAE's financial flexibility. Furthermore, state funding for
fiscal 2012 is slightly lower than 2011 (down 0.5%) but expected
to increase by 2% for fiscal 2013 and potentially offset prior
operating deficits.
The school hired a new financial manager in 2012, which is
expected to help improve operating performance. Fitch estimates
CAE will require multiple operating cycles to remedy the financial
challenges it faces. To improve performance CAE expects to
closely monitor expenses at each campus and cut non essential
staffing and programs. Additionally, strategic shifting of key
positions has enabled the school to create a position for an
administrator, who is tasked with securing previously untapped
governmental revenue sources. Given the recent changes at CAE,
Fitch will continue to monitor the school's operating results for
changes in credit quality.
Enrollment growth resulted from adding the seventh and eighth
grades in school year 2011 and 2012, respectively. The headcount
for the upcoming school year totals 640 students, nearly 17%
higher than the student count in 2011 (548 students). The
school's wait-list of 29 students is significantly leaner than
just a year ago (over 100 students) implying a thinning of demand
at most grade levels. CAE competes for students with neighboring
charter schools and has invested in extracurricular programs to
retain and attract incoming students. Despite competition from
well performing charter schools, Fitch acknowledges that CAE has
been able to effectively grow and sustain enrollment through its
10 year operating history.
Available funds defined as unrestricted cash and investments,
increased to $509,000 in fiscal 2011 from $226,000 the prior year.
Available funds equaled 15% of operating expenses ($3.4 million)
and 6% of long-term debt ($8.45 million). Pro forma MADS of
$660,000 (due at maturity in 2040) comprises a high 21.1% of
unrestricted operating revenues which is not uncommon for charter
schools rated by Fitch.
CAE's first debt service payment was paid in fiscal 2012 assisted
partially by interest capitalized through October 2011. Net
available revenues from operations in fiscal 2011 generated 0.8x
coverage of actual fiscal 2012 debt service. This coverage figure
should improve as the CAE streamlines costs and improves monthly
cash flow. Fitch notes that the intercept mechanism for state
fund disbursements to the school diverts funds first to the
trustee for debt service before releasing monies for operations,
ensuring adequate annual debt service coverage.
CAE is an educational establishment founded by a family of
educators. Originally chartered in 2002, CAE is in year 10 of its
15-year charter. CAE began operations in 1999 and currently
operates two campuses situated in Maricopa County, AZ.
QUEEN STREET VI: S&P Rates $100MM Principal-at-Risk Notes 'B'
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'B(sf)' issue
credit rating to the principal-at-risk notes issued by Queen
Street VI Re Ltd., sponsored by Munich Reinsurance Co. (Munich Re;
AA-/Stable/--).
The notes will be exposed on a per-occurrence basis to major North
Atlantic hurricane risk in selected states within the U.S. between
Aug. 1, 2012, and March 31, 2015 (nearly three full hurricane
seasons), and major European windstorms between October 2012 and
March 2015 (three full windstorm seasons, as modeled by AIR
Worldwide Corp.).
The rating is based on the lower of the implied rating on the
catastrophe risk ('B'), the rating on the assets in the collateral
account ('AAAm'), and the risk of nonpayment by the ceding insurer
('AA-').
Queen Street VI Re Ltd. is a Bermuda exempted company registered
under the Bermuda Insurance Act 1978 as a special purpose insurer
as of June 25, 2012. All of the issuer's issued and outstanding
share capital is held pursuant to the terms of a declaration of
trust by Codan Trust Co., as trustee of The Queen Street VI Re
Limited Purpose Trust. Queen Street VI's business will consist
solely of the issuance of the notes and the entering into and
performance of the retrocession contract and related agreements
and activities.
Munich Re is the cedant to the retrocession contract. It is the
principal operating company and the ultimate holding company for a
group of affiliated companies (the Munich Re Group). Munich Re
transacts insurance and reinsurance business worldwide and is one
of the largest global reinsurers in terms of premiums written and
capital.
RATINGS LIST
New Rating
Queen Street VI Re Ltd.
$100 Mil. Sr. Sec. Principal At-Risk Variable-Rate Notes B(sf)
RENAISSANCE HOME: Moody's Cuts Rating on Cl. A-3 Tranche to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on one tranche
from Renaissance Home Equity Loan Trust 2005-4. Loans backing the
transaction are subprime residential mortgages.
Complete rating actions are as follows:
Issuer: Renaissance Home Equity Loan Trust 2005-4
Cl. A-3, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The downgrades in the rating action
are a result of deteriorating performance and/or structural
features resulting in higher expected losses for certain bonds
than previously anticipated.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R)(SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The unemployment rate fell from 9.0% in April 2011 to 8.2% in June
2012. Moody's forecasts a further drop to 7.8% for 2013. Moody's
expects house prices to drop another 1% from their 4Q2011 levels
before gradually rising towards the end of 2013. Performance of
RMBS continues to remain highly dependent on servicer procedures.
Any change resulting from servicing transfers or other policy or
regulatory change can impact the performance of these
transactions.
A list of these actions including CUSIP identifiers may be found
at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292367
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689
RESIDENTIAL REINSURANCE: S&P Cuts Rating on Class 5 Notes to 'B'
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Standard & Poor's Ratings Services lowered its ratings on
Residential Reinsurance 2011 Ltd. Series 2011-1 (Res Re 2011)
Class 5 notes to 'B(sf)' from 'BB-(sf)' and on Residential
Reinsurance 2012 Ltd. Series 2012-1 (Res Re 2012) Class 5 notes to
'BB-(sf)' from 'BB(sf)', and placed each class on CreditWatch with
negative implications.
Residential Reinsurance is an ongoing natural peril catastrophe
bond program (since 1996) sponsored by United Services Automobile
Association (USAA; AA+/Negative/--). Each class of notes covers
losses from hurricanes, earthquakes, severe thunderstorms, winter
storms, and wildfires on an annual aggregate basis. The current
risk period began on June 1, 2012, and ends on May 31, 2013.
"The ratings are based on the lower of our estimate of the rating
on the catastrophe risk ('B' for Res Re 2011 and 'BB-' for Res Re
2012), the rating on the assets in the reinsurance trust accounts
('AAAm' for each class of notes), or the risk of nonpayment by the
sponsor (AA+). The rating on the catastrophe risk is our view of
the likelihood of the attachment point being reached. The
attachment point is the dollar loss at which Res Re will make
payments to USAA, and there will be a corresponding reduction in
the outstanding principal amount of the notes," S&P said.
"Pursuant to our criteria, we rate natural peril catastrophe bonds
based on the probability of attachment. Since the beginning of the
current risk period, there have been two severe thunderstorms--
Catastrophe Series 77 and 78--that have resulted in ultimate net
loss estimates of $95 million and $45 million, respectively. The
effect of this is to increase the likelihood of the bonds reaching
the attachment points, which are $1.365 billion for the Res Re
2011 notes and $1.571 billion for the Res Re 2012 notes," S&P
said.
"To assign the ratings, we applied an adjustment to the AIR
Worldwide Corp. (AIR) modeled results used to assign ratings to
Res Re 2012. We then assigned the rating by selecting the next
rating category below this adjusted probability of default that is
greater than or equal to the adjusted probability of default from
our insurance-linked securities default table," S&P said.
"Each class of notes was placed on CreditWatch with negative
implications. In addition to the two events, there is a third
event--Catastrophe Series 83--that will likely become a covered
event. We expect to receive a loss estimate for this event early
next month," S&P said.
"We realize the passage of time can decrease the probability of
attachment of a natural peril catastrophe bond, and we factored
this into our analysis. For example, approximately seven weeks of
the hurricane season have passed and because there haven't been
any hurricanes to date, the contribution from a hurricane to the
probability of attachment is somewhat less than it was on June 1,
the beginning of hurricane season," S&P said.
"We expect to receive updated modeled results from AIR that will
take into account the three (to-date) events and the passage of
time from the beginning of current the risk period. The results
should be available early next month. Once we receive these
results, we will update the status of the CreditWatch," S&P said.
"Assuming no increase in the loss estimates on Cats 77 and 78, we
could lower the ratings on each class of notes by one-to-two
notches depending on the loss estimate of Cat 83. Losses of
approximately $70 million from Cat 83 would likely affect the
ratings of each class of notes. However, due to the passage of
time and the seasonality of the covered events, this amount is
just an estimate. We would expect any additional covered events to
affect the ratings as well. To qualify as a covered event, the
minimum loss to USAA must be at least $50 million," S&P said.
"There is the potential for a ratings upgrade in 2013. Based on
the modeled results, the greatest contribution to the probability
of attachment comes from hurricane. If the notes make it through
the hurricane season (which ends at the end of November, so this
peril would not have a material impact on the probability of
attachment for the remainder of the risk period) and there are no
additional (to a limited amount of) covered losses from other
covered events as well, we could raise the ratings, though they
would not be higher than the initial ratings on the notes, which
were 'BB-(sf)' for Res Re 2011, and 'BB(sf)' for Res Re 2012," S&P
said.
"Each class provides coverage to USAA on an annual aggregate
basis. To the extent losses accrue through the risk period but do
not reach the attachment point, the attachment point is reset on
June 1, 2013, the risk period starts anew, and all losses from the
previous risk period will not be included when determining loss
amounts for the then-current risk period. In this case, we would
expect the ratings on the notes to be 'BB-(sf)' and 'BB(sf)' for
Res Re 2011 and 2012," S&P said.
RATINGS LIST
Ratings Lowered; CreditWatch Action To From
Residential Reinsurance 2011-I Ltd
Series 2011-1 Class 5 B(sf)/Watch Neg BB-(sf)
Residential Reinsurance 2012-I Ltd
Series 2012-1 Class 5 BB-(sf)/Watch Neg BB(sf)
SANDELMAN PARTNERS: Fitch Affirms Junk Ratings on Six Note Classes
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Fitch Ratings has affirmed all classes of Sandelman Partners CRE
CDO I, LTD/LLC (Sandelman Partners CRE CDO I) reflecting Fitch's
base case loss expectation of 36.4%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
The CDO exited its reinvestment period in March 2012. Since the
last rating action, the class A-1 notes have amortized by an
additional $13.9 million. Further, the disposal of several
impaired assets resulted in additional realized losses to the CDO
of at least $40 million; the majority of which was factored into
Fitch's last rating action. Realized losses were partially offset
by built par from a number of assets added since last review. As
of the June 2012 trustee report, all overcollaterization and
interest coverage tests are in compliance.
In December 2011, asset management responsibilities were
transferred to Petra Capital Management, LLC. Petra provided
limited information on several assets during the review period;
Fitch made conservative assumptions in modeling these loans.
Commercial real estate loans (CREL) comprise the majority of the
collateral at 58%. The remaining collateral consists of CMBS
(35.8%) and CDOs (6.2%). Since last review, the average Fitch
derived rating for the underlying rated securities improved to
'BB/B+' from 'B+/B'. Defaulted assets comprise 23.5% while assets
of concern total 17.6%.
Under Fitch's methodology, approximately 62.9% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 18.2% from, generally, year end 2011 or trailing 12-
month first quarter 2012. Modeled recoveries are average at
42.2%.
The largest component of Fitch's base case loss expectation is the
modeled losses on the rated securities (42% of the pool).
The next largest component of Fitch's base case loss expectation
is a defaulted A-note (12.4%) secured by a resort development site
located in the Northwestern United States. The sponsor's plan
called for the development and sale of lots, condominiums, and
townhouses. However, sales failed to materialize amid the
economic downturn. Fitch modeled a significant loss on the loan
in its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'. The
breakeven rates for classes A-1 and A-2 pass the cash flow model
at the ratings listed below.
The Stable Outlooks on classes A-1 and A-2 generally reflect the
classes' senior position in the capital structure and cushion in
the modeling.
The 'CCC' ratings for classes B through G are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each classes credit enhancement.
Fitch affirms the following classes as indicated:
-- $164.4 million class A-1 at 'BBsf'; Outlook to Stable from
Negative;
-- $61 million class A-2 at 'Bsf'; Outlook to Stable from
Negative;
-- $37.3 million class B at 'CCCsf'; RE 80%;
-- $16 million class C at 'CCCsf'; RE 0%;
-- $7.4 million class D at 'CCsf'; RE 0%;
-- $8.8 million class E at 'CCsf'; RE 0%;
-- $13 million class F at 'Csf'; RE 0%;
-- $6.7 million class G at 'Csf'; RE 0%
SARGAS CLO: Moody's Raises Rating on Class D Notes to 'Ba2'
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Moody's Investors Service has upgraded the ratings of the
following notes issued by Sargas CLO I:
US$7,750,000 Class A-2A Senior Secured Floating Rate Notes due
2020, Upgraded to Aa1 (sf); previously on November 21, 2011
Confirmed at Aa2 (sf);
US$3,250,000 Class A-2B Senior Secured Fixed Rate Notes due 2020,
Upgraded to Aa1 (sf); previously on November 21, 2011 Confirmed at
Aa2 (sf);
US$21,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2020; Upgraded to A1 (sf); previously on November
21,2011 Upgraded to A2 (sf);
US$17,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2020, Upgraded to Baa2 (sf); previously November 21,
2011 Upgraded to Baa3 (sf).;
US$14,000,000 Class D Secured Deferrable Floating Rate Notes due
2020, Upgraded to Ba2 (sf); previously November 21, 2011 Upgraded
to Ba3 (sf).;
US$5,000,000 Type I Composite Notes due 2020, (current rated
balance of $1,611,691.14) Upgraded to Aaa (sf); previously
November 21, 2011 Upgraded to Aa1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in August 2012. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive
"cushion" relative to certain covenant requirements. In
particular, the deal is assumed to benefit from higher spread
levels compared to the levels assumed at the last rating action in
November 2011. Moody's modeled a weighted average spread level of
4.55% compared to 2.85% at the time of the last rating action.
Moody's also notes that the transaction's reported collateral
quality and overcollateralization ratios are stable since the last
rating action.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $313.4 million,
defaulted par of $6.0 million, a weighted average default
probability of 20.23% (implying a WARF of 3138), a weighted
average recovery rate upon default of 48.81%, and a diversity
score of 43. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Sargas CLO I, issued in August 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans, with exposure to loans of middle market issuers.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2510)
Class A-1: 0
Class A-2A: +1
Class A-2B: +1
Class B: +3
Class C: +3
Class D: +1
Type I Composite Notes: 0
Moody's Adjusted WARF + 20% (3766)
Class A-1: -1
Class A-2A: -1
Class A-2B: -1
Class B: -1
Class C: -1
Class D: -1
Type I Composite Notes: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) The deal is exposed to a number of securities whose default
probabilities are assessed through credit estimates. In the event
that Moody's is not provided the necessary information to update
the credit estimates in a timely fashion, the transaction may be
impacted by any default probability stresses Moody's may assume in
lieu of updated credit estimates.
SOUTHPORT CLO: Moody's Raises Rating on Class D Notes to 'Ba2'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Southport CLO:
U.S.$30,750,000 Class B Notes Due October 15, 2016, Upgraded to
Aaa (sf); previously on December 27, 2011 Upgraded to Aa2 (sf);
U.S.$20,500,000 Class C Notes Due October 15, 2016, Upgraded to A3
(sf); previously on July 14, 2011 Upgraded to Baa3 (sf);
U.S.$12,300,000 Class D Notes Due October 15, 2016 (current
outstanding balance of $9,738,560), Upgraded to Ba2 (sf);
previously on July 14, 2011 Upgraded to Ba3 (sf);
U.S.$68,650,000 Class 2 Combination Notes Due October 15, 2016
(current rated balance of $41,990,408), Upgraded to Aa1 (sf);
previously on December 27, 2011 Upgraded to A1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in December 2011. Moody's notes that the Class
A-1 Notes have been paid down by approximately 55% or $24.7
million, the Class A-2 Notes have paid down in full and the Class
A-3 Notes have been paid down by approximately 4.8% or $2 million
since the last rating action. The Class 2 Combination Notes' rated
balance has been reduced by $1,246,280 since the last rating
action. Based on the latest trustee report dated July 3, 2012, the
Class A, Class B, Class C, and Class D overcollateralization
ratios are reported at 194.61%, 139.35%, 117.17% and 108.93% (OC
ratios do not include payments on the latest payment date of July
2012), respectively, versus November 2011 levels of 155.46%,
126.22%, 112.16%, and 106.53%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $147 million,
defaulted par of $4.37 million, a weighted average default
probability of 13.59% (implying a WARF of 2804), a weighted
average recovery rate upon default of 50.92%, and a diversity
score of 27. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Southport CLO, Limited, issued in November 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2243)
Class A-1: 0
Class A-3: 0
Class B: 0
Class C: +2
Class D: +1
Class 2 Combination Notes: +1
Moody's Adjusted WARF + 20% (3364)
Class A-1: 0
Class A-3: 0
Class B: -1
Class C: -2
Class D: -2
Class 2 Combination Notes: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
STRUCTURED ASSET: Moody's Corrects July 5 Rating Release
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Moody's Investors Service issued a correction to the July 5, 2012
rating release on $642 Million of US Alt-A RMBS issued by SAMI.
Moody's downgraded the ratings of 77 tranches, upgraded the
ratings of three tranches, and confirmed the ratings of five
tranches from 15 RMBS transactions, backed by Alt-A and Option ARM
loans, issued by SAMI.
Ratings Rationale
The actions are a result of the recent performance of Alt-A and
Option ARM pools originated before 2005 and reflect Moody's
updated loss expectations on these pools. The rating action
consists of a number of downgrades as well as some upgrades. The
upgrades are due to significant improvement in collateral
performance, and/ or rapid build-up in credit enhancement due to
high prepayments.
The downgrades are a result of deteriorating performance and/or
structural features resulting in higher expected losses for
certain bonds than previously anticipated. For e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In its current approach, Moody's captures
this risk by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance
Workstation(R)(SFW), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis incorporates
performance variances across the different pools and the
structural nuances of the transaction.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Alt-A and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. Once the loan count in a
pool falls below 76, this rate of delinquency is increased by 1%
for every loan fewer than 76. For example, for a 2004 pool with 75
loans, the adjusted rate of new delinquency is 10.1%. Further, to
account for the actual rate of delinquencies in a small pool,
Moody's multiplies the rate calculated above by a factor ranging
from 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% respectively. Moody's then uses this
final adjusted rate of new delinquency to project delinquencies
and losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
In addition, in the rating action, Moody's has corrected the
ratings on the Cl. X tranches from Structured Asset Mortgage
Investments II Trust 2004-AR1 and Structured Asset Mortgage
Investments II Trust 2004-AR2 pursuant to the methodology
described in "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012. The Cl. X
tranches from these two transactions are interest-only tranches
linked to the multi-tranches. Due to an internal administrative
error, these tranches were initially misclassified and thus not
included in the February 22, 2012 rating action on certain RMBS
interest-only securities.
Assumption Uncertainty
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in May 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the securities is the higher of 1) the guarantor's financial
strength rating and 2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
Complete rating actions are as follows:
Issuer: Structured Asset Mortgage Investments II Trust 2003-AR4
Cl. A-1, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-2, Upgraded to Baa3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. X, Upgraded to B1 (sf); previously on Feb 22, 2012 Downgraded
to B2 (sf) and Placed Under Review for Possible Upgrade
Cl. M, Downgraded to B2 (sf); previously on Aug 8, 2011 Confirmed
at Ba3 (sf)
Cl. B-1, Downgraded to C (sf); previously on Apr 27, 2011
Downgraded to Ca (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR1
Cl. I-A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B3 (sf); previously on Apr 1, 2011 Confirmed
at Aaa (sf)
Cl. M, Downgraded to Caa2 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Apr 1, 2011
Downgraded to Ca (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2
Cl. I-A, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa1 (sf); previously on Apr 1, 2011
Downgraded to Aa2 (sf)
Cl. M, Downgraded to Caa3 (sf); previously on Apr 1, 2011
Downgraded to Caa2 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR3
Cl. I-A-1, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to A2 (sf); previously on Apr 1, 2011
Confirmed at Aaa (sf)
Cl. I-A-3, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to B2 (sf); previously on Jan 31, 2012 Baa2 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR4
Cl. I-A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously on Apr 1, 2011
Downgraded to Aa3 (sf)
Cl. III-A-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba3 (sf)
Placed Under Review for Possible Downgrade
Cl. X, Confirmed at B1 (sf); previously on Feb 22, 2012 Downgraded
to B1 (sf) and Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR6
Cl. A-1A, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. Grantor Trust A-1B, Downgraded to A2 (sf); previously on Jan
31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on Apr 1, 2011
Downgraded to Ca (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR7
Cl. A-1A, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. Grantor Trust A-1B, Downgraded to A3 (sf); previously on Jan
31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to Ba1 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR8
Cl. A-1, Downgraded to A2 (sf); previously on Apr 1, 2011
Downgraded to Aa3 (sf)
Cl. A-2A, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2B, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf)
Cl. X-2, Downgraded to A2 (sf); previously on Feb 22, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Baa3 (sf); previously on Apr 1, 2011
Downgraded to Baa1 (sf)
Cl. B-1, Downgraded to Caa1 (sf); previously on Apr 1, 2011
Downgraded to B3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2001-4
Cl. A-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Ba2 (sf); previously on Jan 31,
2012 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Cl. A-2, Downgraded to Ba2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Ba2 (sf); previously on Jan 31,
2012 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Cl. B-1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2002-AR2
Cl. A-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Ba2 (sf); previously on Feb 22, 2012
Downgraded to Ba1 (sf) and Placed Under Review for Possible
Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2002-AR5
Cl. A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2003-AR1
Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 1, 2011
Downgraded to Baa2 (sf)
Cl. A-3, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-3M, Downgraded to Ba3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ba2 (sf); previously on Apr 1, 2011
Downgraded to Baa1 (sf)
Cl. X-1, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to Ca (sf); previously on Apr 1, 2011 Downgraded
to Caa2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR2
Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to B1 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2003-AR3
Cl. A-1, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. X, Confirmed at B2 (sf); previously on Feb 22, 2012 Downgraded
to B2 (sf) and Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2003-CL1
Cl. I-F1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-F2, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-S1, Downgraded to Ba1 (sf); previously on Feb 22, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-S2, Downgraded to Ba3 (sf); previously on Feb 22, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-I1, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. I-I2, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf) and Placed Under Review for Possible
Downgrade
Cl. I-PO, Downgraded to Ba2 (sf); previously on Apr 1, 2011
Downgraded to Baa2 (sf)
Cl. II-A1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-B1, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. II-B1, Downgraded to Baa3 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-B2, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. II-B3, Downgraded to Caa3 (sf); previously on Apr 1, 2011
Confirmed at B3 (sf)
Cl. II-B4, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-B5, Downgraded to C (sf); previously on Apr 1, 2011
Confirmed at Ca (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290309
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
TALISMAN 7: Fitch Affirms Junk Rating on Two Note Classes
---------------------------------------------------------
Fitch Ratings has downgraded Talisman 7 plc's class D notes, and
revised the Outlooks on the class A to C notes as follows:
-- EUR483.9m class A: affirmed at 'Asf'; Outlook revised to
Negative from Stable
-- EUR87.3m class B: affirmed at 'BBBsf'; Outlook revised to
Negative from Stable
-- EUR84.2m class C: affirmed at 'BBsf'; Outlook revised to
Negative from Stable
-- EUR66.5m class D: downgraded to 'CCCsf' from 'Bsf'; RE50%
-- EUR47.1m class E: affirmed at 'CCCsf'; RE0%
-- EUR68.9m class F: affirmed at 'CCsf'; RE0%
The rating actions have been driven by the deterioration in market
value (MV) of the assets backing the Haydn and Brahms loans, along
with the continued difficulty facing the servicer in organising
the repayment of a substantial note balance before bond maturity
in April 2017.
The Haydn loan has experienced a 60% market-value-decline (MVD)
since the last rating action in July 2011 due to the expiry of
EUR3.4m of Deutsche Telekom leases in September 2011, which
increased the vacancy rate on the portfolio to 47%. Fitch expects
this loan to make a significant loss.
The Brahms loan is backed by a single office tower located in
Eschborn on the outskirts of Frankfurt. The property has
experienced a 51% MVD due to the likelihood of the principal
tenant leaving at their lease expiry in December 2015. The
current valuation implies a whole loan-to-value ratio (LTV) of
169%.
The transaction is still dominated by the EUR777.8m Mozart loan,
of which a syndicated EUR498.2m portion out of a larger EUR664.3m
senior loan is securitised. The loan's asset manager was changed
last year as part of a broad restructuring. The new asset manager
has been successful in reducing the loan balance through property
sales. Since the last rating action, 18 assets have been disposed
of up to the April 2012 interest payment date (IPD), and a further
two subsequently. Although Fitch acknowledges the good work in
amortising the loan by EUR83m, the agency believes disposing of
some of the larger assets in the portfolio will remain
problematic.
Four loans (Bach, Wagner, Haydn and Brahms), which represent one-
third of the current principal balance, failed to redeem at their
January 2012 maturity dates and are currently in standstill. The
Handel loan was scheduled to mature in October 2011 but has been
granted a 12-month extension by the servicer. Fitch believes all
of these loans have senior loan-to-value ratios (LTVs) of over
100% and as such all are susceptible to making losses, especially
as the collateral backing these loans tends to be of secondary
quality, for which there is only subdued investor demand.
The agency still believes there is time for the servicer to
dispose of assets and pay back the senior classes of notes before
bond maturity in April 2017, particularly as Fitch believes all
the subordinated lenders have been affectively 'cut-off', and
hence do not have any control rights during the work-out process.
However, the servicer's decisive action (including the use of
auctions and DPOs) on the majority of the loans will still be
essential in order to achieve the required levels of principal
redemptions.
TOLEDO-LUCAS COUNTY: Fitch Lowers Rating on $69-Mil. Bonds to 'BB'
------------------------------------------------------------------
Fitch Ratings has downgraded to 'BB' from 'BBB+' the rating on the
$69 million Toledo-Lucas County Port Authority, OH (Crocker Park
Public Improvement Project) special assessment revenue bonds,
series 2003.
The Rating Outlook is Stable.
Security
The bonds are special limited obligations payable by the issuer
from special assessments levied on the assessment property by the
city of Westlake. A debt service reserve fund equal to maximum
annual debt service (excluding the final maturity) is fully funded
through a guaranteed investment contract.
Key Rating Drivers
DOWNGRADE FACTORS: Project cash flows have eroded from already
very weak levels and in fiscal 2011 covered only about one-half of
the substantial mortgage payment. While mortgage payments are
legally subordinate to special assessment payments this shortfall
heightens Fitch's concerns about the developer's continued
willingness and ability to continue to make special assessment
payments.
SPECULATIVE GRADE CREDIT FACTORS: The 'BB' rating reflects the
single-payor risk combined with project cash flows that are
materially lower than anticipated at the time of the bond
financing.
SINGLE-PAYOR RISK: Pledged special assessments are payable from a
single payor on property comprising a small, highly concentrated
geographic area.
LIEN SUPERIOR TO MORTGAGE OBLIGATION: Special assessment payments,
equal to at least annual debt service through final bond maturity
regardless of the assessed value of property, are on parity with
property taxes and are senior to the sizable mortgage payments.
HIGH LEVERAGE: Fitch-estimated loan-to-value is very high at
1.5:1, leading to concerns about the special assessment payor's
incentive to continue to remain current on assessments.
MATURE PROJECT WITH HIGH OCCUPANCY RATES: Despite high occupancy
rates, the project does not generate cashflow sufficient to cover
mortgage payments.
PROJECT OBLIGATIONS CURRENT: The project generates enough coverage
for property taxes and special assessments and while coverage of
mortgage payments is insufficient, both special assessments and
mortgage payments have been kept current.
What Could Trigger A Rating Action
FAILURE TO PAY PROPERTY OBLIGATIONS: Failure to pay special
assessments, leading to a draw on the debt service reserve, or the
subordinate mortgage payments on time could cause a further
downgrade.
CONTINUED COVERAGE EROSION: Continued lack of sum sufficient
cashflow coverage of mortgage payments could put further downward
pressure on the rating.
MORTGAGE WITH SPECIAL SERVICER: Placement of the mortgage with a
special servicer would indicate severe stress, but could,
ultimately, be a stabilizing factor at a lower rating level.
LACK OF SUFFICIENT OR TIMELY INFORMATION: The inability to receive
information pertinent to the rating of these obligations by Fitch
on a timely basis could result in a change or withdrawal of the
rating.
Credit Profile
SINGLE PAYOR RISK
The bonds are secured by special assessments payable by a single
payor, Crocker Park, LLC (the developer/owner), an affiliate of
Robert L. Stark Enterprises. The special assessment property is
within an established retail area, Crocker Park, in affluent
Westlake, Ohio (rated 'AAA' by Fitch) with complementary
retailers, office and residential units and retains a competitive
position in the region. The assessment property is composed of
the retail portion of Crocker Park with over 630,000 square feet
of retail space anchored by several major retailers, in addition
to office space and residential properties.
MATURE PROJECT WITH HIGH OCCUPANCY RATES
All phases of the development anticipated at the time of the bond
financing have been completed. Occupancy rates recently have
ranged from 92% to 100%. Development continues in areas adjacent
to the assessment property. Plans for construction of a new
headquarters for American Greetings, are expected to result in the
addition of 1,600 jobs, which should further strengthen consumer
demand.
Despite the high occupancy rates, the development generates
cashflow insufficient to support large mortgage payments, after
payment of special assessments. Mortgage coverage sank to 0.57x
in 2011, from 0.75x in 2010. Despite the lack of coverage from
project revenues, the developer is current on mortgage payments
through the use of other resources.
LIEN SUPERIOR TO MORTGAGE OBLIGATION
The special assessments are on parity with real estate taxes and
are senior to an outstanding mortgage on the property. Special
assessments were authorized in aggregate maximum annual
installments of $6 million for the term of the bonds and are
levied annually in an amount sufficient to pay annual debt
service. Fitch remains concerned about the current or any future
owner's incentive to continue to make special assessment payments,
given the very high loan-to-value ratio of 1.5:1, using Fitch's
conservative stressed value of the entire development.
STRUCTURAL PROTECTIONS
Some comfort is derived from the superiority of the lien to those
of larger obligations; however, the very weak coverage of the
mortgage obligation introduces risk of payment disruption should
the loan go into foreclosure. Fitch believes the presence of a
master servicer (and special servicer, if necessary), as part of
the mortgage trust securitization may prove to be a stabilizing
factor, should the trust have sufficient resources and choose to
provide liquidity to bridge any payment interruption during a
work-out. The 'BB' rating does not assume any such external
support from the trust.
UBS-BARCLAYS 2012-C2: Fitch Gives Low-B Ratings on 2 Cert. Classes
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and outlooks to
UBS-B 2012-C2 commercial mortgage pass-through certificates:
-- $80,451,000 class A-1 'AAAsf'; Outlook Stable;
-- $174,804,000 class A-2 'AAAsf'; Outlook Stable;
-- $116,311,000 class A-3 'AAAsf'; Outlook Stable;
-- $479,671,000 class A-4 'AAAsf'; Outlook Stable;
-- $945,482,000a,c class X-A 'AAAsf'; Outlook Stable;
-- $94,245,000a,b class A-S-EC 'AAAsf'; Outlook Stable;
-- $63,842,000a,b class B-EC 'AAsf'; Outlook Stable;
-- $203,689,000a,b class EC 'Asf'; Outlook Stable;
-- $45,602,000a,b class C-EC 'Asf'; Outlook Stable;
-- $24,322,000a class D 'BBB+sf'; Outlook Stable;
-- $47,122,000a class E 'BBB-sf'; Outlook Stable;
-- $22,801,000a class F 'BBsf'; Outlook Stable;
-- $24,321,000a class G 'Bsf'; Outlook Stable.
a Privately placed pursuant to Rule 144A.
b Class A-S-EC, class B-EC and class C-EC certificates may be
exchanged for class EC certificates, and class EC certificates
may be exchanged for class A-S-EC, class B-EC and class C-EC
certificates.
c Notional amount and interest only.
Fitch does not rate the $270,572,149 interest-only class X-B or
the $42,562,149 class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 54 loans secured by 83 commercial
properties having an aggregate principal balance of approximately
$1.2 billion as of the cutoff date. The loans were contributed to
the trust by UBS Real Estate Securities, Inc., Barclays Bank PLC,
Archetype Mortgage Funding II LLC and KeyBank, National
Association.
UBS-BARCLAYS 2012-C2: Moody's Rates Class G Certificates 'B2'
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fourteen classes of CMBS securities, issued by UBS-Barclays
Commercial Mortgage Trust 2012-C2, Commercial Mortgage Pass-
Through Certificates, Series 2012-C2.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-S-EC*, Definitive Rating Assigned Aaa (sf)
Cl. X-A**, Definitive Rating Assigned Aaa (sf)
Cl. X-B**, Definitive Rating Assigned Ba3 (sf)
Cl. B-EC*, Definitive Rating Assigned Aa2 (sf)
Cl. EC*, Definitive Rating Assigned A1 (sf)
Cl. C-EC*, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
* Reflects Exchangeable Certificates
** Reflects Interest Only Classes
Ratings Rationale
The Certificates are collateralized by 54 fixed rate loans secured
by 83 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.48X is slightly higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.02X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 101.9% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 104.6% is also
considered when analyzing various stress scenarios for the rated
debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 20.7. which is in-line with other multi-
borrower pools rated by Moody's since 2009. The score is in-line
with previously rated conduit and fusion transactions but higher
than previously rated large loan transactions.
With respect to property level diversity, the pool's property
level Herfindahl score is 22.5. Nine loans (16.4% of the pool
balance) are secured by multiple properties. Loans secured by
multiple properties benefit from lower cash flow volatility given
that excess cash flow from one property can be used to augment
another's cash flow to meet debt service requirements. These loans
also benefit from the pooling of equity from each underlying
property.
Moody's assigned an A3 credit assessment for one loan, 909 Third
Avenue Net Lease, representing approximately 3.2% of the pool
balance. Loans assigned investment grade credit assessments are
not expected to contribute any loss to a transaction in low stress
scenarios, but are expected to contribute minimal amounts of loss
in high stress scenarios.
Moody's considers the creditworthiness of loans when evaluating
the effects of pooling among portfolio assets. Generally, a loan's
affect on the diversity profile of a portfolio is inversely
correlated with the loan's creditworthiness. As such, high quality
loans only marginally benefit a pool's diversity profile when they
are small, or marginally harm a pool's diversity profile when they
are large. The Herfindahl score for this transaction excluding the
A3 credit assessed loan is 19.8.
Moody's grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The weighted average
grade for the pool is 2.39, which is better than the indices
calculated in most multi-borrower transactions since 2009.
Five of the eleven largest loan exposures in the pool are
represented by Class B regional malls. The concentration of
regional malls (28.7% of the pool balance) is high compared to
other multi-borrower deals rated by Moody's. Two of these malls,
the Pierre Bossier Mall and the Westgate Mall, individually
contribute less than 5% to the pool balance, while the Crystal
Mall represents the largest exposure at 7.8% of the pool balance.
Moody's Asset Quality Grade for the five malls ranged from a low
of 2.25 (9.00% capitalization rate, Louise Joliet Mall) to 4.25
(11.25% capitalization rate, Westgate Mall). The two malls with
the highest in-line sales are Louise Joliet Mall in Joliet, IL and
Southland Mall in Taylor, MI. Their in-line sales for the most
recent trailing 12-month period were $409 PSF and $373 PSF,
respectively. The two malls with the lowest in-line sales are
Westgate Mall in Spartanburg, SC and Crystal Mall in Waterford,
CT. Their in-line sales for the most recent trailing 12-month
period were $276 PSF and $327 PSF respectively.
For additional information on Moody's approach to analyzing malls
refer special report: "US CMBS: Growing Gap Between Strong and
Weak Malls."
In terms of waterfall structure, the transaction contains a unique
group of exchangeable certificates. Classes A-S-EC ((P) Aaa), B-EC
((P) Aa2) and C-EC ((P) A2) may be exchanged for Class EC ((P) A1)
certificates and Class EC may be exchanged for the Classes A-S-EC,
B-EC and C-EC. The EC certificates will be entitled to receive the
sum of interest distributable on the classes A-S-EC, B-EC and C-EC
certificates that are exchanged for such EC certificates. The
initial certificate balance of the class EC certificates is equal
to the aggregate of the initial certificate balances of the Class
A-S-EC, B-EC and C-EC and represent the maximum certificate
balance of the EC certificates that may be issued in an exchange.
Moody's considers the probability of certificate default as well
as the estimated severity of loss when assigning a rating. As a
thick vertical tranche, Class EC has the default characteristics
of the lowest rated component certificate ((P) A2), but a very
high estimated recovery rate if a default occurs given the
certificate's thickness. Considering both probability of default
and recovery, Moody's definitive assessment of expected loss for
the EC certificate is commensurate with an A1 rating.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5.0%, 14.6%, or 23.4%, the model-indicated rating for the
currently rated junior Aaa class would be Aa1, Aa2, A1,
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather
they are designed to provide a quantitative calculation of how the
initial rating might change if key input parameters used in the
initial rating process differed. The analysis assumes that the
deal has not aged. Parameter Sensitivities only reflect the
ratings impact of each scenario from a quantitative/model-
indicated standpoint. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information
presented in the Parameter Sensitivity analysis.
WAMU 2007-SL2: Fitch Junks Rating on Six Certificate Classes
------------------------------------------------------------
Fitch Ratings downgrades 6 classes of WaMu Commercial Mortgage
Securities Trust 2007-SL2, commercial mortgage pass-through
certificates.
The downgrades reflect a greater certainty of expected losses
across the pool. Fitch's expected losses for the transaction are
6.35% of the current transaction balance. Fitch has designated
121 loans (23%) as Fitch Loans of Concern, which includes 30
specially serviced assets (5.7%). Given the small balance nature
of the loans, Fitch ran additional stress scenarios by increasing
cap rate scenarios. Given these scenarios, the Rating Outlook for
the investment grade classes was deemed to be Stable.
As of the June 2012 distribution date, the pool's certificate
balance has paid down 31.6% to $576 million from $842 million at
issuance. There are 504 of the original 664 loans remaining in
the transaction. There are currently 30 specially serviced loans
(5.7%) in the deal. The average loan size for the transaction is
$1.1 million. To date, the transaction has incurred $18.4 million
in losses, representing 2.2% of the original transaction.
The largest contributor to Fitch expected loss (0.3%) is secured
by a 47,000 square foot retail property located in San Dimas, CA.
The property is 100% vacant due to the single tenant vacating at
lease end in April 2011. No updates were available on leasing
activity.
The second largest contributor to Fitch expected loss (0.89%) is
secured by a 169,751 square foot (sf) industrial warehouse
property located in Woodland, CA. The asset is currently real-
estate owned (REO). The special servicer is currently marketing
the asset for sale.
The third largest contributor to Fitch expected loss (0.8%) is
secured by a mixed-use property located in Lynbrook, NY. The loan
is specially serviced and currently 90 days delinquent. The
special servicer is moving to have the loan dismissed from
bankruptcy and the bankruptcy hearing is scheduled for July 20,
2012.
Fitch downgrades, and assigns or revises Recovery Ratings on the
following classes as indicated:
-- $25.3 million class C to 'CCCsf'from 'B-'; RE 100%;
-- $16.8 million class D to 'CCsf' from 'B-'; RE 100%;
-- $6.3 million class E to 'Csf' from 'B-'; RE 100%;
-- $7.4 million class F to 'Csf' from 'CCC'; RE 10%;
-- $13.7 million class G to 'Csf' from 'CCC' RE 0%;
-- $4.2 million class H to 'Csf' from 'CC'' RE 0%.
Fitch affirms and revises Outlooks on the following classes as
indicated:
-- $69.7 million class A1 at 'BBB-sf'; Outlook Stable;
-- $405.7 million class A-1A at 'BBB-sf'; Outlook Stable;
-- $17.9 million class B at 'BBsf'; Outlook to Negative from
Stable;
-- $5.3 million class J at 'Csf'; RE 0%;
-- $2.1 million class K at 'Csf'; RE 0%.
Classes L and M remain at 'Dsf'; RE 0% due to principal losses
incurred.
Class N is not rated by Fitch. Fitch had previously withdrawn the
rating of the interest-only class X.
WELLS FARGO 2011-BXR: Fitch Affirms Ratings on 9 Cert. Classes
--------------------------------------------------------------
Fitch Ratings has affirmed all classes of WFDB 2011-BXR commercial
mortgage pass-through certificates, series 2011-BXR issued by
Wells Fargo Commercial Mortgage Securities, Inc. as follows
-- $695,000,000 class A at 'AAAsf'; Outlook Stable;
-- $61,350,000 class B at 'AAsf'; Outlook Stable;
-- $76,490,000 class C at 'Asf'; Outlook Stable;
-- $45,890,000 class D at 'BBBsf'; Outlook Stable;
-- $30,590,000 class E at 'BBB-sf'; Outlook Stable;
-- $90,680,000 class F at 'BBsf'; Outlook Stable;
-- $695,000,000* class X-A at 'AAAsf'; Outlook Stable;
-- $305,000,000* class X-B at 'BBsf'; Outlook Stable;
-- $1,000,000,000* class X-C at 'BBsf'; Outlook Stable.
*Notional amount and interest only.
The affirmations and Stable Outlooks are the result of stable
portfolio performance. As of year-end 2011 the amortizing NCF
DSCR was 1.66 times (x) compared to 1.65x underwritten at
issuance. Portfolio occupancy was stable at 90.2% compared to 89%
at issuance.
This transaction is secured by the mortgage interest in 107 retail
properties located in 27 states across the U.S. The properties,
totaling 16,196,205 sf, are located in 27 states with the largest
concentrations (by allocated balance) in Texas (15.0%),
Pennsylvania (8.2%), Ohio (7.6%), California (7.5%), and Illinois
(7.5%). Additionally, while all properties are retail, there is a
mix of grocery-anchored (47.8%), non-grocery-anchored (35.1%), and
grocery shadow-anchored (16.7%) properties. Only one property
(0.4%) is unanchored.
The portfolio is occupied by more than 1,100 distinct tenants with
no single entity accounting for more than 5.2% of net rentable
area and 3.3% of annual base rent. Tenants include a mix of local
and regional retailers. Investment-grade rated tenants account
for 27.2% of space and 27.0% of annual base rent.
The notes are secured by a $1.0 billion mortgage loan with $400
million of mezzanine loans held outside the trust. The loan is
interest only for the first two years. The sponsor is Blackstone
Real Estate Advisors (BREA) through their real estate funding
vehicle Blackstone Real Estate Partners VI (BREP). BREA is one of
the largest real estate investors in the world, with approximately
$26.5 billion of assets under management. The financing is
associated with the purchase of the entire Centro Properties Group
U.S. retail portfolio by Blackstone Real Estate Advisors. The
certificates will follow a sequential-pay structure.
The loan matures in July 2016. The Fitch stressed loan-to-value
(LTV) ratio is approximately 65% based on capitalization of the
Fitch-adjusted net cash flow at a rate of 8.5%.
WFRBS 2012-C8: Fitch to Rate $26MM Class G Certificates 'Bsf'
-------------------------------------------------------------
Fitch Ratings has issued a presale report on WFRBS 2012-C8
Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $97,008,000 Class A-1 'AAAsf'; Outlook Stable;
-- $187,668,000 Class A-2 'AAAsf'; Outlook Stable;
-- $439,057,000 Class A-3 'AAAsf'; Outlook Stable;
-- $96,932,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $90,000,000#a Class A-FL 'AAAsf'; Outlook Stable;
-- $0 Class A-FXa 'AAAsf'; Outlook Stable;
-- $1,024,498,000a* Class X-A 'AAAsf'; Outlook Stable;
-- $113,833,000 Class A-S 'AAAsf'; Outlook Stable;
-- $66,674,000 Class B 'AAsf'; Outlook Stable;
-- $43,907,000 Class C 'Asf'; Outlook Stable;
-- $26,019,000a Class D 'BBB+sf'; Outlook Stable;
-- $45,533,000a Class E 'BBB-sf'; Outlook Stable;
-- $22,767,000a Class F 'BBsf'; Outlook Stable;
-- $26,019,000a Class G 'Bsf'; Outlook Stable.
#Floating Rate.
*Notional amount and interest only.
aPrivately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of July 16, 2012. Fitch does not expect to rate the
$276,452,580 interest-only class X-B or the $45,533,580 Class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 80 loans secured by 122 commercial
properties having an aggregate principal balance of approximately
$1.301 billion as of the cutoff date. The loans were contributed
to the trust by, Wells Fargo Bank National Association, The Royal
Bank of Scotland, C-III Commercial Mortgage LLC, Liberty Island
Group I LLC, and Basis Real Estate Capital II LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 66.4% of the properties
by balance, cash flow analysis of 82.5%, and asset summary reviews
on 82.5% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.24x, a Fitch stressed loan-to-value (LTV) of 97.4%,
and a Fitch debt yield of 9.5%. Fitch's aggregate net cash flow
represents a variance of 5.5% to issuer cash flows.
The Master Servicer and Special Servicer will be Wells Fargo Bank,
N.A. and Rialto Capital Advisors, LLC, rated 'CMS2' and 'CSS2-',
respectively, by Fitch.
WFRBS 2012-C8: Moody's Assigns '(P)B2' Rating to Class G Certs.
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 15
classes of CMBS securities, issued by WFRBS Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-
C8.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-FL, Assigned (P)Aaa (sf)
Cl. A-FX, Assigned (P)Aaa (sf)*
Cl. X-A, Assigned (P)Aaa (sf)
Cl. X-B, Assigned (P)Ba3 (sf)
Cl. A-S, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa1 (sf)
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. G, Assigned (P)B2 (sf)
*Class A-FX is an echangeable class tied to Class A-FL
Ratings Rationale
The Certificates are collateralized by 80 fixed rate loans secured
by 122 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.58X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.05X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 101.9% is lower than the 2007
conduit/fusion transaction average of 110.6%.
Moody's considers both loan level diversity and property level
diversity when selecting a ratings approach. With respect to loan
level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
24.8. The transaction's loan level diversity is in-line with the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 31.5. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.29, which is in-line
with the indices calculated in most multi-borrower transactions
since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship, and diversity. Moody's
analysis also uses the CMBS IO calculator ver1.0, which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 3.9%, 11.3%, and 17.9%, the model-indicated rating for the
currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-S would be
Aa1, Aa1, and A1, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
* Fitch Takes Various Rating Actions on 20 SF CDOs
--------------------------------------------------
Fitch Ratings has affirmed 108 classes and downgraded seven
classes of notes from 20 structured finance collateralized debt
obligations (SF CDOs) with exposure to various structured finance
assets.
The rating action report, titled 'Fitch Takes Various Rating
Actions on 20 SF CDOs', dated July 13, 2012, details the
individual rating actions for each rated CDO. It can be found at
fitchratings.com at http://is.gd/RG1E0C
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. None of the
reviewed transactions have been analyzed within a cash flow model
framework, as the impact of structural features and excess spread,
or conversely, principal proceeds being used to pay CDO
liabilities and hedge payments, were determined to be minimal in
the context of these CDO ratings.
For transactions where expected losses from distressed and
defaulted assets in the portfolio (rated 'CCsf' and lower) already
significantly exceed the credit enhancement (CE) level of the most
senior class of notes, Fitch believes that the probability of
default for all classes of notes can be evaluated without
factoring potential further losses from the remaining portion of
the portfolios. Therefore, these transactions were not modeled
using the Structured Finance Portfolio Credit Model (SF PCM).
For five transactions where expected losses from distressed assets
did not significantly exceed the CE levels of the senior class of
notes, Fitch used the SF PCM to project future losses from the
transaction's entire portfolio and compared them to the CE levels
of the notes.
The five classes downgraded to 'Dsf' and 16 classes affirmed at
'Dsf' are non-deferrable classes that have experienced or are
expected to continue experiencing interest payment shortfalls or
writedowns.
Fitch does not assign Outlooks to classes rated 'CCCsf' and below.
* Moody's Takes Rating Actions on $297MM US Scratch & Dent RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 7
tranches, and confirmed the rating of 1 tranche from six RMBS
transactions, backed by Scratch and Dent loans, issued by various
financial institutions.
Ratings Rationale
The actions are a result of the recent performance review of
Scratch and Dent pools and reflect Moody's updated loss
expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "US RMBS Surveillance Methodology for Scratch
and Dent" published in May 2011.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications and 2) small pool volatility.
Loan Modifications
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications. As a result of an extension of the
Home Affordable Modification Program (HAMP) to 2013 and an
increased use of private modifications, Moody's is extending its
previous view that loan modifications will only occur through the
end of 2012. It is now assuming that the loan modifications will
continue at current levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on scratch and dent pools with fewer than 100
loans, Moody's first calculates an annualized delinquency rate
based on strength of the collateral, number of loans remaining in
the pool and the level of current delinquencies in the pool. For
scratch and dent, Moody's first applies a baseline delinquency
rate of 11% for standard transactions and 3% for strongest prime-
like deals. Once the loan count in a pool falls below 76, this
rate of delinquency is increased by 1% for every loan fewer than
76. For example, for a standard pool with 75 loans, the adjusted
rate of new delinquency is 11.1%. Further, to account for the
actual rate of delinquencies in a small pool, Moody's multiplies
the rate calculated above by a factor ranging from 0.75 to 2.5 for
current delinquencies that range from less than 2.5% to greater
than 30% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
When assigning the final ratings to the bonds, in addition to the
methodologies described above, Moody's considered the volatility
of the projected losses and timeline of the expected defaults.
Certain securities are insured by financial guarantors. For
securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and is as described earlier.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.2% in June 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-
SD1
Cl. A-1B, Downgraded to Aa1 (sf); previously on Mar 29, 2006
Assigned Aaa (sf)
Cl. M-1, Downgraded to Caa2 (sf); previously on Apr 19, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2007-A
Cl. A, Downgraded to Aa3 (sf) and Remains On Review for Possible
Downgrade; previously on Apr 19, 2012 Aa2 (sf) Placed Under Review
for Possible Downgrade
Underlying Rating: Downgraded to A3 (sf); previously on Apr 19,
2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp. (Aa3, under review for
possible downgrade on )
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-SD1
Cl. A, Confirmed at Caa2 (sf); previously on Apr 19, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: PPT ABS LLC Asset-Backed Certificates, Series 2004-1
Cl. A, Downgraded to B1 (sf); previously on Apr 19, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: SACO I Inc. Mortgage Pass-Through Certificates, Series
2000-1
Cl. 1-B-1, Downgraded to Baa1 (sf); previously on Apr 19, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 1-B-2, Downgraded to Caa1 (sf); previously on May 26, 2011
Downgraded to B2 (sf)
Issuer: Salomon Brothers Mortgage Trust 2001-2
Cl. M-3, Downgraded to B1 (sf); previously on Apr 19, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292003
A list of updated estimated pool losses and sensitivity analysis
is being posted on an ongoing basis for the duration of this
review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004
* Moody's Issues Correction to May 4 RMBS Rating Release
--------------------------------------------------------
Moody's Investors Service issued a correction to the May 4, 2012
rating release on RMBS transactions.
Moody's downgraded the ratings of 20 tranches, upgraded the
ratings of 5 tranches, and confirmed the ratings of 20 tranche
from 15 RMBS transactions, backed by Subprime loans, issued by
various issuers.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R)(SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction. The above
mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is
adjusted slightly when estimating losses on pools left with a
small number of loans to account for the volatile nature of small
pools. Even if a few loans in a small pool become delinquent,
there could be a large increase in the overall pool delinquency
level due to the concentration risk. To project losses on pools
with fewer than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent
on the vintage of loan origination (11% for all vintages 2004 and
prior). The baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. For
securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and is as described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: BankBoston Home Equity Loan Trust 1998-2
A-6, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)<
A-7, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Issuer: Carrington Mortgage Loan Trust, Series 2004-NC2
Cl. M-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: CIT Home Equity Loan Trust 2002-2
Cl. AF, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. MV-2, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. MF-1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Conseco Finance Home Equity Loan Trust 2002-B
Cl. M-2, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. B-1, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: Conseco Finance Home Equity Loan Trust 2002-C
Cl. MV-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. MV-2, Downgraded to Baa3 (sf); previously on Apr 12, 2011
Confirmed at A2 (sf)
Cl. BV-1, Downgraded to B2 (sf); previously on Apr 12, 2011
Downgraded to Ba1 (sf)
Cl. BV-2, Downgraded to B3 (sf); previously on Apr 12, 2011
Downgraded to B1 (sf)
Cl. BF-1, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. BF-2, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Issuer: CPT Asset-Backed Certificates Trust 2004-EC1
Cl. M-1, Upgraded to Aa3 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Downgrade
Issuer: EQCC Trust 2001-1F
Cl. A-3, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-4, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: First Alliance Mortgage Loan Trust 1998-4
A-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Issuer: HomeGold Home Equity Loan Trust 1999-1
A-1, Confirmed at Aa2 (sf); previously on Mar 21, 2012 Aa2 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3 placed
on review for possible downgrade on Mar 20, 2012)
Issuer: Popular ABS Mortgage Pass-Through Trust 2004-4
Cl. AV-1, Downgraded to A2 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. AF-4, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at B3 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Issuer: Soundview Home Loan Trust 2004-1
Cl. M-1, Downgraded to A2 (sf); previously on Mar 13, 2011
Downgraded to A1 (sf)
Cl. M-2, Downgraded to Baa2 (sf); previously on Mar 13, 2011
Downgraded to Baa1 (sf)
Cl. M-3, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Soundview Home Loan Trust 2004-WMC1
Cl. M-1, Upgraded to A2 (sf); previously on Jan 31, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B1 (sf); previously on Jan 31, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to Caa2 (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-5, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. M-6, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2
Trust
Cl. AI-8, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. AII-1B, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. AIII-3, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. M-6, Downgraded to B3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: WMC Mortgage Loan Trust 1998-1
M-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A1 (sf)
Placed Under Review for Possible Downgrade
Issuer: WMC Mortgage Pass-Through Certificates, Series 2000-A
Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF284461
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
* S&P Raises Ratings on 13 Tranches From 5 US TruPs CDO Deals
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 13
tranches from five U.S. collateralized debt obligation (CDO)
transactions backed by pools of trust preferred securities
(TruPs). The upgraded tranches have a total issuance amount of
$2.21 billion. "In addition, we affirmed our ratings on two
tranches from a U.S. TruPs CDO transaction. We removed six ratings
from CreditWatch with positive implications," S&P said.
"The rating actions reflect the application of our updated
criteria for rating CDOs backed by TruPs. Some of the trust-
preferred CDO transactions have also benefitted from improvements
in their underlying collateral portfolios, including cessation of
deferrals that had been occurring and changes in the credit
quality of the small banks that issued the TruPs collateralizing
the CDOs. Some of the rating actions also reflect significant
paydowns made to the transaction's senior notes," S&P said.
"Trust preferred CDOs are collateralized by hybrid (or TruPs)
securities issued by banks, insurance companies, and REITs (real
estate investment trusts). The assets collateralizing bank trust
preferred CDOs rated by Standard & Poor's are deeply subordinated,
long-dated securities issued predominantly by small community
banks with speculative-grade credit profiles. Further, many of
these banks have significant real estate exposures, and it is our
view that their performance in times of economic and/or credit
stress may be highly correlated," S&P said.
"The updated criteria incorporate several elements, including a
decreased emphasis on front-loaded defaults (which are generally
more stressful on the transaction's cash flows) for lower rating
categories; a potential deferral cure (PDC) credit in our cash
flow analysis for prospective deferring and currently deferring
bank TruPs; and an assumption that larger banks may redeem their
TruPs due to U.S. regulatory changes that phase out tier 1 capital
credit for such securities," S&P said.
"Given the current rating distribution of the TruPs CDOs,
incorporating the differentiated default patterns in our cash flow
scenarios will have the most impact on the current ratings of the
affected transactions," S&P said.
"Some tranches in our analysis had breakeven default rates (BDRs)
that failed to exceed the 'CCC-' scenario default rate (SDR)
generated by CDO Evaluator. We lowered our ratings on these
tranches to 'CC (sf)' if, in our view, the transaction collateral
even absent further deferrals was insufficient to cover the
currently outstanding tranche balance. Otherwise, we assigned a
'CCC- (sf)' rating," S&P said.
"We intend to review the remaining transactions with ratings on
CreditWatch in connection with our TruPs CDO criteria update and
resolve the CreditWatch status of the affected tranches within the
next three months," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
RATING AND CREDITWATCH ACTIONS
Alesco Preferred Funding XIV Ltd.
Rating
Class To From
X AAA (sf) A (sf)/Watch Pos
A-1 BB+ (sf) CCC- (sf)/Watch Pos
I-Preferred Term Securities IV Ltd.
Rating
Class To From
A-1 A+ (sf) A (sf)
A-2 A (sf) BBB (sf)
A-3 A (sf) BBB (sf)
B-M-1 CCC (sf) CCC- (sf)
B-M-2 CCC (sf) CCC- (sf)
Preferred Term Securities XXI Ltd.
Rating
Class To From
A-1 BB- (sf) CCC (sf)/Watch Pos
A-2 CCC (sf) CCC- (sf)
Preferred Term Securities XXIV Ltd
Rating
Class To From
A-1 BB (sf) CCC- (sf)/Watch Pos
A-2 CCC (sf) CCC- (sf)
Trapeza Edge CDO Ltd.
Rating
Class To From
A-1 BB+ (sf) B (sf)/Watch Pos
A-3 B+ (sf) CCC (sf)/Watch Pos
RATINGS AFFIRMED
I-Preferred Term Securities IV Ltd.
Class Rating
C CCC- (sf)
D CCC- (sf)
* S&P Puts Ratings on 41 Tranches From 12 US CDOs on Watch Pos
--------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 41
tranches from 12 U.S. collateralized debt obligation (CDO)
transactions on CreditWatch with positive implications.
The affected tranches are from CDO transactions backed by
securities issued by corporate obligors. These tranches had an
original issuance amount of $1.60 billion.
"Most of the affected transactions are collateralized loan
obligations (CLOs), and the CreditWatch placements reflect the
continued improvement in the credit quality of the underlying
obligors, including reduction in defaults and an improvement in
the credit quality of the underlying loans that collateralize
these CLOs," S&P said.
"We will resolve 's CreditWatch placements after we complete a
comprehensive cash flow analysis and committee review for each of
the affected transactions. We expect to resolve these CreditWatch
placements within 90 days. We will continue to monitor the CDO
transactions we rate and take rating actions, including
CreditWatch placements, as we deem appropriate," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111724.pdf.
RATINGS PLACED ON CREDITWATCH POSITIVE
AMMC CLO VI Ltd.
Rating
Class To From
A-1-b AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Ares NF CLO XIII Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BB (sf)/Watch Pos BB (sf)
Ares VR CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
BlackRock Senior Income Series II
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
First 2004-II CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Gulf Stream-Compass CLO 2004-1 Ltd.
Rating
Class To From
C A+ (sf)/Watch Pos A+ (sf)
Gulf Stream-Compass CLO 2005-II Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Integral Funding Ltd.
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
Katonah III Inc.
Rating
Class To From
C-1 A+ (sf)/Watch Pos A+ (sf)
C-2 A+ (sf)/Watch Pos A+ (sf)
D-1 BBB+ (sf)/Watch Pos BBB+ (sf)
D-2 BBB+ (sf)/Watch Pos BBB+ (sf)
Landmark III CDO Ltd.
Rating
Class To From
A-2L AA+ (sf)/Watch Pos AA+ (sf)
A-3L A- (sf)/Watch Pos A- (sf)
B-1L CCC+ (sf)/Watch Pos CCC+ (sf)
Landmark IV CDO Ltd.
Rating
Class To From
A-3L AA- (sf)/Watch Pos AA- (sf)
B-1L BBB- (sf)/Watch Pos BBB- (sf)
B-2L B (sf)/Watch Pos B (sf)
Market Square CLO Ltd.
Rating
Class To From
B A+ (sf)/Watch Pos A+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B+ (sf)/Watch Pos B+ (sf)
* S&P Puts Ratings on 22 Tranches From 18 CDO Deals on Watch Pos
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 22
tranches from 18 corporate-backed synthetic collateralized debt
obligation (CDO) transactions on CreditWatch positive. "The rating
actions followed our monthly review of synthetic CDO
transactions," S&P said.
The CreditWatch positive placements reflect the seasoning of the
transactions, the rating stability of the obligors in the
underlying reference portfolios over the past few months, and the
synthetic rated overcollateralization (SROC) ratios that had risen
above 100% at the next highest rating level.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Credit Default Swap
Series REF: NGNGX
Rating
Class To From
Tranche BBB- (sf)/ Watch Pos BBB- (sf)
Credit Default Swap
Series PAOLI-REF.No.64451
Rating
Class To From
Tranche BB+ (sf)/ Watch Pos BB+ (sf)
Credit-Linked Trust Certificates
Series 2005-1
Rating
Class To From
2005-I-H AA (sf)/ Watch Pos AA (sf)
2005-I-I A+ (sf)/ Watch Pos A+ (sf)
2005-I-J A (sf)/ Watch Pos A (sf)
Elva Funding PLC
Series 2008-3
Rating
Class To From
Notes A (sf)/ Watch Pos A (sf)
Greylock Synthetic CDO 2006
Series 1
Rating
Class To From
A1A-$LS BBB- (sf)/ Watch Pos BBB- (sf)
Greylock Synthetic CDO 2006
Series 4
Rating
Class To From
A1-$LS BBB- (sf)/ Watch Pos BBB- (sf)
Infiniti SPC Limited
Series 10B-1
Rating
Class To From
10B-1 B- (sf)/ Watch Pos B- (sf)
Landgrove Synthetic CDO SPC
Series 2007-2
Rating
Class To From
7A2 Sr CCC- (sf)/ Watch Pos CCC- (sf)
Lorally CDO Limited Series 2007-3
Series 2007-3
Rating
Class To From
2007-3 A (sf)/ Watch Pos A (sf)
Momentum CDO (Europe) Ltd.
Series 2005-9
Rating
Class To From
Notes BB- (sf)/ Watch Pos BB- (sf)
Morgan Stanley ACES SPC
Series 2007-9
Rating
Class To From
III B+p (sf)/Watch Pos CCC-i (sf) B+p (sf) CCC-i (sf)
Morgan Stanley Managed ACES SPC
Series 2005-1
Rating
Class To From
IVA CCC- (sf)/ Watch Pos CCC- (sf)
IVB CCC- (sf)/ Watch Pos CCC- (sf)
Morgan Stanley Managed ACES SPC
Series 2006-2
Rating
Class To From
Combo BB+ (sf)/ Watch Pos BB+ (sf)
Morgan Stanley Managed ACES SPC
Series 2006-4
Rating
Class To From
IIIA BB+ (sf)/ Watch Pos BB+ (sf)
Morgan Stanley Managed ACES SPC
Series 2007-16
Rating
Class To From
IB BB- (sf)/ Watch Pos BB- (sf)
Mt Kailash Series III
Rating
Class To From
Cr Lkd Ln CCC- (sf)/ Watch Pos CCC- (sf)
PARCS Master Trust
Series 2007-5 CALVADOS
Rating
Class To From
Trust Unit CCC- (sf)/ Watch Pos CCC- (sf)
Rutland Rated Investments
Series DRYDEN06-1
Rating
Class To From
B1-$LS B (sf)/ Watch Pos B (sf)
B1B-$LS B (sf)/ Watch Pos B (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
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*********
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